Results 161 to 169 of about 228 (169)

A high-order valuation technique for the time-fractional Black-Scholes equation

AIP Conference Proceedings, 2023
openaire   +1 more source

Continuous time Black–Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime

Physica A: Statistical Mechanics and Its Applications, 2012
Jun Wang, Fu-Yao Ren, Wei-Yuan Qiu
exaly  

Effect of Stochastic Resetting on the Fractional Black-Scholes Equation

Guillermo Chacón-Acosta, David Del Valle   +1 more
openaire   +1 more source

The problem on the fractional Black-Scholes equation’s solution existence and uniqueness

AIP Conference Proceedings
Agus Sugandha, Endang Rusyaman, Sukono Sukono, Ema Carnia   +3 more
openaire   +1 more source

Numerical pricing based on fractional Black–Scholes equation with time-dependent parameters under the CEV model: Double barrier options

Computers and Mathematics With Applications, 2021
exaly  

The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense

Mathematics, 2018
Wannika Sawangtong, Panumart Sawangtong, B Wiwatanapataphee   +2 more
exaly  

Lie symmetry, exact solutions and conservation laws of time fractional Black–Scholes equation derived by the fractional Brownian motion

Journal of Applied Analysis
Jicheng Yu
exaly  

A Finite Difference Method for a Normalized Time-Fractional Black–Scholes Equation

International Journal of Applied and Computational Mathematics
Yunjae Nam, Jian Wang, Chaeyoung Lee, Yongho Choi, Minjoon Bang, Zhengang Li, Junseok Kim   +6 more
openaire   +1 more source

Group classification of time fractional Black-Scholes equation with time-dependent coefficients

Fractional Calculus and Applied Analysis
Yuqiang Feng, Jicheng Yu, Feng Yuqiang   +2 more
exaly