Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
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Publication:2213046
DOI10.1016/j.chaos.2019.05.024zbMath1448.91296OpenAlexW2947202820WikidataQ127820539 ScholiaQ127820539MaRDI QIDQ2213046
Seydou Nourou Ndiaye, Aliou Niang Fall, Ndolane Sene
Publication date: 27 November 2020
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2019.05.024
Derivative securities (option pricing, hedging, etc.) (91G20) Theoretical approximation in context of PDEs (35A35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)
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