Generalized measure Black–Scholes equation: towards option self-similar pricing
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Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s11081-024-09885-5.pdf
Reference16 articles.
1. Achdou Y, Pironneau O (2005) Computational methods for option pricing. Society for Industrial and Applied Mathematics, Philadelphia
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3. Fortune P (1996) Anomalies in option pricing: the Black–Scholes model revisited. N Engl Econ Rev 17–40
4. Hu J, Lau K-S, Ngai S-M (2006) Laplace operators related to self-similar measures on $${\mathbb{R} }^d$$. J Funct Anal 239:542–565
5. Kigami J (2001) Analysis on fractals. Cambridge University Press, London
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