Articles with "payoff function" as a keyword



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Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function

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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… read more here.

Keywords: weak payoff; black scholes; model weak; fractional black ... See more keywords