Numerically pricing double barrier options in a time-fractional Black–Scholes model

2017/06/17 by R.H. De Staelen, Rob De Staelen, A.S. Hendy +1 · 1 citation
Mathematics · Economics, Econometrics and Finance · #Fractional Differential Equations Solutions #Stochastic processes and financial applications #Nonlinear Differential Equations Analysis

paper · doi:10.1016/j.camwa.2017.06.005

Citations

• The Pricing of Options and Corporate Liabilities
• Numerical solution of the time fractional Black–Scholes model governing European options

Cited by

• Numerical approximation of a time-fractional Black–Scholes equation