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"Analytically pricing double barrier options based on a time-fractional ..."

Wen-Ting Chen, Xiang Xu, Song-Ping Zhu (2015)

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DOI: 10.1016/J.CAMWA.2015.03.025

access: open

type: Journal Article

metadata version: 2021-02-11

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Wen-Ting Chen, Xiang Xu, Song-Ping Zhu:
Analytically pricing double barrier options based on a time-fractional Black-Scholes equation. Comput. Math. Appl. 69(12): 1407-1419 (2015)

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