Skip to main content
placeholder image

Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative

Journal Article


Abstract


Authors


  •   Chen, Wenting (external author)
  •   Xu, Xiang (external author)
  •   Zhu , Song-Ping

Publication Date


  • 2014

Citation


  • Chen, W., Xu, X. & Zhu , S. (2014). Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative. Quarterly of Applied Mathematics, 72 (3), 597-611.

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/4048

Number Of Pages


  • 14

Start Page


  • 597

End Page


  • 611

Volume


  • 72

Issue


  • 3

Place Of Publication


  • United States

Abstract


Authors


  •   Chen, Wenting (external author)
  •   Xu, Xiang (external author)
  •   Zhu , Song-Ping

Publication Date


  • 2014

Citation


  • Chen, W., Xu, X. & Zhu , S. (2014). Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative. Quarterly of Applied Mathematics, 72 (3), 597-611.

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/4048

Number Of Pages


  • 14

Start Page


  • 597

End Page


  • 611

Volume


  • 72

Issue


  • 3

Place Of Publication


  • United States