Haar wavelet transform and variational iteration method for fractional option pricing models
Author:
Affiliation:
1. College of Information and Electrical Engineering China Agricultural University Beijing China
2. Education Technology Center Hebei University of Engineering Handan China
3. Engineering School, DEIM University of Tuscia Viterbo Italy
Funder
Data Center of Management Science, National Natural Science Foundation of China - Peking University
Publisher
Wiley
Subject
General Engineering,General Mathematics
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/mma.8343
Reference38 articles.
1. Derivative pricing as a transport problem: MPDATA solutions to Black–Scholes-type equations
2. Option prices and implied volatility in the crude oil market
3. The Pricing of Options and Corporate Liabilities
4. On the numerical solution of nonlinear Black–Scholes equations
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