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Numerically pricing double barrier options in a time-fractional Black-Scholes model

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Fractional differential equation, Numerical scheme, Double barrier option, Black–Scholes, Convergence, Stability, FOKKER-PLANCK EQUATION, SPATIAL ACCURACY

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MLA
De Staelen, Rob, and Ahmed S. Hendy. “Numerically Pricing Double Barrier Options in a Time-Fractional Black-Scholes Model.” COMPUTERS & MATHEMATICS WITH APPLICATIONS, vol. 74, no. 6, 2017, pp. 1166–75, doi:10.1016/j.camwa.2017.06.005.
APA
De Staelen, R., & Hendy, A. S. (2017). Numerically pricing double barrier options in a time-fractional Black-Scholes model. COMPUTERS & MATHEMATICS WITH APPLICATIONS, 74(6), 1166–1175. https://doi.org/10.1016/j.camwa.2017.06.005
Chicago author-date
De Staelen, Rob, and Ahmed S Hendy. 2017. “Numerically Pricing Double Barrier Options in a Time-Fractional Black-Scholes Model.” COMPUTERS & MATHEMATICS WITH APPLICATIONS 74 (6): 1166–75. https://doi.org/10.1016/j.camwa.2017.06.005.
Chicago author-date (all authors)
De Staelen, Rob, and Ahmed S Hendy. 2017. “Numerically Pricing Double Barrier Options in a Time-Fractional Black-Scholes Model.” COMPUTERS & MATHEMATICS WITH APPLICATIONS 74 (6): 1166–1175. doi:10.1016/j.camwa.2017.06.005.
Vancouver
1.
De Staelen R, Hendy AS. Numerically pricing double barrier options in a time-fractional Black-Scholes model. COMPUTERS & MATHEMATICS WITH APPLICATIONS. 2017;74(6):1166–75.
IEEE
[1]
R. De Staelen and A. S. Hendy, “Numerically pricing double barrier options in a time-fractional Black-Scholes model,” COMPUTERS & MATHEMATICS WITH APPLICATIONS, vol. 74, no. 6, pp. 1166–1175, 2017.
@article{8522533,
  author       = {{De Staelen, Rob and Hendy, Ahmed S}},
  issn         = {{0898-1221}},
  journal      = {{COMPUTERS & MATHEMATICS WITH APPLICATIONS}},
  keywords     = {{Fractional differential equation,Numerical scheme,Double barrier option,Black–Scholes,Convergence,Stability,FOKKER-PLANCK EQUATION,SPATIAL ACCURACY}},
  language     = {{eng}},
  number       = {{6}},
  pages        = {{1166--1175}},
  title        = {{Numerically pricing double barrier options in a time-fractional Black-Scholes model}},
  url          = {{http://dx.doi.org/10.1016/j.camwa.2017.06.005}},
  volume       = {{74}},
  year         = {{2017}},
}

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