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Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method
This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative. With the aid of symbolic calculation software, European and American put option pricing models th...
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Published in: | Abstract and Applied Analysis 2013-01, Vol.2013 (2013), p.469-478-149 |
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container_end_page | 478-149 |
container_issue | 2013 |
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container_title | Abstract and Applied Analysis |
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creator | Song, Lina Wang, Weiguo |
description | This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative. With the aid of symbolic calculation software, European and American put option pricing models that combine the time-fractional Black-Scholes equation with the conditions satisfied by the standard put options are numerically solved using the implicit scheme of the finite difference method. |
doi_str_mv | 10.1155/2013/194286 |
format | article |
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title | Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method |
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