Numerically pricing nonlinear time-fractional Black-Scholes equation with time-dependent parameters under transaction costs
M. Rezaei, A. R. Yazdanian, A. Ashrafi, S. M. Mahmoudi
| Year of publication: |
2022
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|---|---|
| Authors: | Rezaei, M. ; Yazdanian, A. R. ; Ashrafi, A. ; Mahmoudi, S. M. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 60.2022, 1, p. 243-280
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| Subject: | Implicit difference scheme | Nonlinear equation | Stability and convergence | Time-fractional Black–Scholes equation | Transaction cost | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10148-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013262670