Concepedia

A second order numerical method for the time-fractional Black–Scholes European option pricing model

Kamran Kazmi

Journal of Computational and Applied Mathematics · 2022 · 29 citations · 49 references

DOI

Concepts

References

49

The Pricing of Options and Corporate Liabilities

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

, , +13

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

, , +13

The random walk's guide to anomalous diffusion: a fractional dynamics approach

Ralf Metzler, J. Klafter · Physics Reports · 2000 · 8.9K citations

, , +16

Option pricing when underlying stock returns are discontinuous

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

, , +16

Crank–Nicolson method for the fractional diffusion equation with the Riesz fractional derivative

Cem Çelik, Melda Duman · Journal of Computational Physics · 2011 · 502 citations

, , +6