Numerical solution of time-fractional Black–Scholes equation
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/article/10.1007/s40314-016-0330-z/fulltext.html
Reference19 articles.
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3. Elbeleze A, Kiliçman A, Taib B (2013) Homotopy perturbation method for fractional Black–Scholes European option pricing equations using Sumudu transform. Math Probl Eng. Article ID: 524852
4. Jumarie G (2008) Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations. Insur Math Econ 42:271–287
5. Jumarie G (2010a) Derivation and solutions of some fractional Black–Scholes equations in coarse-grained space and time. Application to Merton’s optima portfolio. Comput Math Appl 59:1142–1164
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