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).
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Cited by:
- Liu, Tao & Soleymani, Fazlollah & Ullah, Malik Zaka, 2024. "Solving multi-dimensional European option pricing problems by integrals of the inverse quadratic radial basis function on non-uniform meshes," Chaos, Solitons & Fractals, Elsevier, vol. 185(C).
- 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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