Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function
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DOI: 10.1007/s10614-017-9715-3
Abstract: The purpose of this paper is to obtain an explicit solutions of the fractional Black–Scholes model with a weak payoff function. To do this, we derive fractional Black–Scholes equation by creating a self-financing portfolio strategy… read more here.
Keywords: weak payoff; black scholes; model weak; fractional black ... See more keywords
A different approach to the European option pricing model with new fractional operator
Sign Up to like & getrecommendations! Published in 2018 at "Mathematical Modelling of Natural Phenomena"
DOI: 10.1051/mmnp/2018009
Abstract: In this work, we have derived an approximate solution of the fractional Black-Scholes models using an iterative method. The fractional differentiation operator used in this paper is the well-known conformable derivative. Firstly, we redefine the… read more here.
Keywords: black scholes; option pricing; different approach; fractional black ... See more keywords