A space-time fractional derivative model for European option pricing with transaction costs in fractal market
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Publication:1681657
DOI10.1016/j.chaos.2017.05.043zbMath1376.91164OpenAlexW2623729930MaRDI QIDQ1681657
Publication date: 24 November 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2017.05.043
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)
Related Items (10)
Calculations of fractional derivative option pricing models based on neural network ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ A computational method to price with transaction costs under the nonlinear Black-Scholes model ⋮ Emergence of turbulent epochs in oil prices ⋮ Asian-barrier option pricing formulas of uncertain financial market ⋮ A semianalytical solution of the fractional derivative model and its application in financial market ⋮ Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation ⋮ Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
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