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Published in 2018 at "Computational Economics"
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…
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Keywords:
weak payoff;
black scholes;
model weak;
fractional black ... See more keywords