Option pricing under finite moment log stable process in a regulated market: A generalized fractional path integral formulation and Monte Carlo based simulation
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modeling and Simulation,Numerical Analysis
Reference39 articles.
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5. Option pricing models driven by the space-time fractional diffusion: series representation and applications;Aguilar;Fractal and Fractional,2018
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Numerical Investigation of Fractional Step-Down ELS Option;Fractal and Fractional;2023-01-30
2. A computational weighted finite difference method for American and barrier options in subdiffusive Black–Scholes model;Communications in Nonlinear Science and Numerical Simulation;2021-05
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