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OPTION PRICING UNDER THE KOBOL MODEL

Chen, WT; Lin, S

Lin, S (reprint author), Univ Wollongong, Sch Math & Appl Stat, Wollongong, NSW 2522, Australia.

ANZIAM JOURNAL, 2018; 60 (2): 175

Abstract

We consider the pricing of European options under a modified Black-Scholes equation having fractional derivatives in the "spatial" (price) variable. T......

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