Browsing Artículos Open Access by Subject "UNESCO Thesaurus /Black-scholes"
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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 ...