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Abstract and Applied Analysis
Volume 2013 (2013), Article ID 194286, 10 pages
Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method
Center for Econometric Analysis and Forecasting, School of Mathematics and Quantitative Economics,
Dongbei University of Finance and Economics, Dalian 116025, China
Received 17 March 2013; Revised 2 June 2013; Accepted 16 June 2013
Academic Editor: Changbum Chun
Copyright © 2013 Lina Song and Weiguo Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citations to this Article [6 citations]
The following is the list of published articles that have cited the current article.
- Yingjia Guo, “The Stability of Solutions for a Fractional Predator-Prey System,” Abstract and Applied Analysis, vol. 2014, pp. 1–7, 2014.
- Shu-Li Mei, “Faber-Schauder Wavelet Sparse Grid Approach for Option Pricing with Transactions Cost,” Abstract and Applied Analysis, vol. 2014, pp. 1–9, 2014.
- Liwei Liu, “Construction of Interval Shannon Wavelet and Its Application in Solving Nonlinear Black-Scholes Equation,” Mathematical Problems in Engineering, vol. 2014, pp. 1–9, 2014.
- P. Phaochoo, A. Luadsong, and N. Aschariyaphotha, “The meshless local Petrov-Galerkin Based On moving kriging interpolation for solving fractional Black-Scholes model,” Journal of King Saud University - Science, 2015.
- Wenting Chen, Xiang Xu, and Song-Ping Zhu, “Analytically pricing double barrier options based on a time-fractional Black-Scholes equation,” Computers & Mathematics With Applications, vol. 69, no. 12, pp. 1407–1419, 2015.
- H. Zhang, F. Liu, I. Turner, and S. Chen, “The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option,” Applied Mathematical Modelling, 2016.