Pricing of basket options in subdiffusive fractional Black-Scholes model
type: Item
instance of: scholarly article
title: Pricing of basket options in subdiffusive fractional Black-Scholes model
zbMATH Open document ID: 1376.91160
author: Gulnur Karipova
author: Marcin Magdziarz
published in: Chaos, Solitons and Fractals
publication date: 2017-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 35Q84
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 6806335
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: subdiffusion
zbMATH Keywords: basket options
zbMATH Keywords: stable process
MaRDI profile type: Publication
full work available at URL: j.chaos.2017.05.013
OpenAlex ID: W2612427756
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DOI: 10.1016/J.CHAOS.2017.05.013
description: scientific article; zbMATH DE number 6806335