Journal
ABSTRACT AND APPLIED ANALYSIS
Volume -, Issue -, Pages -Publisher
HINDAWI LTD
DOI: 10.1155/2013/194286
Keywords
-
Categories
Funding
- National Natural Science Foundation of China [71171035, 71273044, 71271045]
Ask authors/readers for more resources
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.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available