Concepedia

Fast numerical simulation of a new time-space fractional option pricing model governing European call option

Haozhe Zhang, Fawang Liu, S. Chen, Vo Anh, J. Chen

Applied Mathematics and Computation · 2018 · 18 citations · 25 references

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References

25

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text

, , +16

Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems

H.A. van der Vorst · SIAM Journal on Scientific and Statistical Computing · 1992 · 5.3K citations

, , +9

The Variation of Certain Speculative Prices

Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.7K citations

, , +11

Finite difference/spectral approximations for the time-fractional diffusion equation

Yumin Lin, Chuanju Xu · Journal of Computational Physics · 2007 · 1.8K citations

, , +14