Results 161 to 170 of about 3,326,698 (171)

Numerical approximation of a time-fractional Black–Scholes equation

Computers and Mathematics With Applications, 2018
Zhongdi Cen, Anbo Le
exaly  

Fractional model and solution for the Black-Scholes equation

Mathematical Methods in the Applied Sciences, 2018
Jun-Sheng Duan
exaly  

A 2nd-order ADI finite difference method for a 2D fractional Black–Scholes equation governing European two asset option pricing

Mathematics and Computers in Simulation, 2020
Song Wang, Wen Chen
exaly  

Black–Scholes option pricing equations described by the Caputo generalized fractional derivative

Chaos, Solitons and Fractals, 2019
Ndolane Sene
exaly  

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

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

Fractional Fokker-Planck Equation and Black-Scholes Formula in Composite-Diffusive Regime

Journal of Statistical Physics, 2011
Fuyao Ren, Wei-Yuan Qiu
exaly  

Numerical solution of time-fractional Black–Scholes equation

Computational and Applied Mathematics, 2016
Miglena N. Koleva
exaly  

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  

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  

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

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