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Ecuación diferencial del tipo Black-Scholes con derivada fraccionaria
(Universidad Autónoma de Guerrero (México), 2016-04)
In this work, we study a generalization of the Black-Scholes equation, which is widely used to determine the theoretical value for options, a financial derivative of great interest in the economic sphere. We change the ...
Stochastic black-scholes equation with time-fractional derivative on the half-line
(International Journal of Pure and Applied Mathematics, 2016-01)
We investigate the pricing of options using a modified Black-Scholes equation with a time-fractional derivative and additive white noise on the half-line. We construct the Green function for the initial-boundary value ...