Stationary solutions for two nonlinear Black–Scholes type equations-Reference-Cited by-同舟云学术

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Stationary solutions for two nonlinear Black–Scholes type equations

Published:2003-12 Issue:3-4 Volume:47 Page:275-280
ISSN:0168-9274
Container-title:Applied Numerical Mathematics
language:en
Short-container-title:Applied Numerical Mathematics

Author:

Amster P.,Averbuj C.G.,Mariani M.C.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis

Reference9 articles.

1. Quantitative Modeling of Derivative Securities: From Theory to Practice;Avellaneda,2000

2. Risk neutral stochastic volatily model;Avellaneda;Internat. J. Theor. Appl. Finance,1998

3. Dynamic Asset Pricing Theory;Duffie,1996

4. Elliptic Partial Differential Equations of Second Order;Gilbarg,1983

5. Options, Futures, and other Derivatives;Hull,1997

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1. An Efficient Numerical Method Based on Exponential B-splines for a Time-Fractional Black–Scholes Equation Governing European Options;Computational Economics;2023-11-08

2. Numerical solution of ψ-Hilfer fractional Black–Scholes equations via space–time spectral collocation method;Alexandria Engineering Journal;2023-05

3. Block-pulse operational matrix method for solving fractional Black-Scholes equation;Journal of Economic Studies;2017-08-14

4. Numerical computation of fractional Black–Scholes equation arising in financial market;Egyptian Journal of Basic and Applied Sciences;2014-12

5. European Option Pricing with Transaction Costs in Lévy Jump Environment;Abstract and Applied Analysis;2014

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