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Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: Double barrier options.

M. RezaeiA. R. YazdanianA. AshrafiSeyed Mahdi Mahmoudi
Published in: Comput. Math. Appl. (2021)
Keyphrases
  • sensitivity analysis
  • black scholes model
  • objective function
  • decision making
  • autoregressive
  • numerical methods