Symmetries of fractional Guéant-Pu model with Gerasimov-Caputo time-derivative

DOI10.1007/S10958-023-06620-WMaRDI QIDQ6187921

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Publication date: 1 February 2024

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
• Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging
• Invariant solutionsof the Gu´eant - Pu model of options pricing and hedging
• Recursion operators for the Guéant-Pu model
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