Approximate-analytical solution to the information measure's based quanto option pricing model

DOI10.1016/J.CHAOS.2021.111493zbMath1498.91428OpenAlexW3217662510MaRDI QIDQ2171444

Luckshay Batra, H. C. Taneja

Publication date: 9 September 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.111493

zbMATH Keywords

Black-Scholes equationLiouville-Caputo fractional derivativeLaplace homotopy perturbation methodKullback relative informationquanto option pricing model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• A different approach to the European option pricing model with new fractional operator
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• On Information and Sufficiency

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