Practical finite difference method for solving multi-dimensional black-Scholes model in fractal market
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DOI: 10.1016/j.chaos.2022.111895
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- Kim, Junseok & Kim, Taekkeun & Jo, Jaehyun & Choi, Yongho & Lee, Seunggyu & Hwang, Hyeongseok & Yoo, Minhyun & Jeong, Darae, 2016. "A practical finite difference method for the three-dimensional Black–Scholes equation," European Journal of Operational Research, Elsevier, vol. 252(1), pages 183-190.
- Wang, Jian & Yan, Yan & Chen, Wenbing & Shao, Wei & Wang, Jian & Tang, Weiwei, 2021. "Equity-linked securities option pricing by fractional Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
- Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xi-Li & Wang, Ying-Luo, 2010. "Pricing currency options in a fractional Brownian motion with jumps," Economic Modelling, Elsevier, vol. 27(5), pages 935-942, September.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Kim, Sangkwon & Kim, Junseok, 2021. "Robust and accurate construction of the local volatility surface using the Black–Scholes equation," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
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- Bukhari, Ayaz Hussain & Raja, Muhammad Asif Zahoor & Shoaib, Muhammad & Kiani, Adiqa Kausar, 2022. "Fractional order Lorenz based physics informed SARFIMA-NARX model to monitor and mitigate megacities air pollution," Chaos, Solitons & Fractals, Elsevier, vol. 161(C).
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Keywords
European option; Fractional black-Scholes model; Hurst exponent;All these keywords.
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