Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative

Authors

Wenting Chen, University of WollongongFollow
Xiang Xu, Zhejiang UniversityFollow
Song-Ping Zhu, University of WollongongFollow

RIS ID

97256

Publication Details

Chen, W., Xu, X. & Zhu , S. (2014). Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative. Quarterly of Applied Mathematics, 72 (3), 597-611.