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Abstract and Applied Analysis
Volume 2013 (2013), Article ID 194286, 10 pages
http://dx.doi.org/10.1155/2013/194286
Research Article

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 [3 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. View at Publisher · View at Google Scholar
  • 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. View at Publisher · View at Google Scholar
  • 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. View at Publisher · View at Google Scholar