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Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method
Joint Authors
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-06-26
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Song, Lina& Wang, Weiguo. 2013. Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method. Abstract and Applied Analysis،Vol. 2013, no. 2013, pp.1-10.
https://search.emarefa.net/detail/BIM-453499
Modern Language Association (MLA)
Song, Lina& Wang, Weiguo. Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method. Abstract and Applied Analysis No. 2013 (2013), pp.1-10.
https://search.emarefa.net/detail/BIM-453499
American Medical Association (AMA)
Song, Lina& Wang, Weiguo. Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method. Abstract and Applied Analysis. 2013. Vol. 2013, no. 2013, pp.1-10.
https://search.emarefa.net/detail/BIM-453499
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-453499