Hainaut, Donatien Pricing of spread and exchange options in a rough jump-diffusion market. (English) Zbl 1500.91135 J. Comput. Appl. Math. 419, Article ID 114752, 24 p. (2023). MSC: 91G20 26A33 PDFBibTeX XMLCite \textit{D. Hainaut}, J. Comput. Appl. Math. 419, Article ID 114752, 24 p. (2023; Zbl 1500.91135) Full Text: DOI
Najafi, Alireza; Taleghani, Rahman Fractional Liu uncertain differential equation and its application to finance. (English) Zbl 1508.91568 Chaos Solitons Fractals 165, Part 2, Article ID 112875, 7 p. (2022). MSC: 91G20 91G30 91G10 26A33 34A08 PDFBibTeX XMLCite \textit{A. Najafi} and \textit{R. Taleghani}, Chaos Solitons Fractals 165, Part 2, Article ID 112875, 7 p. (2022; Zbl 1508.91568) Full Text: DOI
Mpanda, Marc Mukendi; Mukeru, Safari; Mulaudzi, Mmboniseni Generalisation of fractional Cox-Ingersoll-Ross process. (English) Zbl 1503.60048 Results Appl. Math. 15, Article ID 100322, 16 p. (2022). MSC: 60G22 60H05 60H10 26A33 PDFBibTeX XMLCite \textit{M. M. Mpanda} et al., Results Appl. Math. 15, Article ID 100322, 16 p. (2022; Zbl 1503.60048) Full Text: DOI arXiv
Ahmad, Manzoor; Mishra, Rajshree; Jain, Renu Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method. (English) Zbl 1499.91133 Fract. Differ. Calc. 11, No. 1, 1-15 (2021). MSC: 91G20 26A33 91G80 35Q91 PDFBibTeX XMLCite \textit{M. Ahmad} et al., Fract. Differ. Calc. 11, No. 1, 1--15 (2021; Zbl 1499.91133) Full Text: DOI
Aguilar, Jean-Philippe; Coste, Cyril; Korbel, Jan Series representation of the pricing formula for the European option driven by space-time fractional diffusion. (English) Zbl 1422.91675 Fract. Calc. Appl. Anal. 21, No. 4, 981-1004 (2018). MSC: 91G20 26A33 60G22 44A10 PDFBibTeX XMLCite \textit{J.-P. Aguilar} et al., Fract. Calc. Appl. Anal. 21, No. 4, 981--1004 (2018; Zbl 1422.91675) Full Text: DOI arXiv
Ara, Asmat; Khan, Najeeb Alam; Razzaq, Oyoon Abdul; Hameed, Tooba; Raja, Muhammad Asif Zahoor Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling. (English) Zbl 1445.91062 Adv. Difference Equ. 2018, Paper No. 8, 13 p. (2018). MSC: 91G20 91G60 34A08 26A33 65T60 PDFBibTeX XMLCite \textit{A. Ara} et al., Adv. Difference Equ. 2018, Paper No. 8, 13 p. (2018; Zbl 1445.91062) Full Text: DOI
Chen, Wenting; Du, Meiyu; Xu, Xiang An explicit closed-form analytical solution for European options under the CGMY model. (English) Zbl 1473.91020 Commun. Nonlinear Sci. Numer. Simul. 42, 285-297 (2017). MSC: 91G20 26A33 35R11 PDFBibTeX XMLCite \textit{W. Chen} et al., Commun. Nonlinear Sci. Numer. Simul. 42, 285--297 (2017; Zbl 1473.91020) Full Text: DOI
Korbel, Jan; Luchko, Yuri Modeling of financial processes with a space-time fractional diffusion equation of varying order. (English) Zbl 1354.91178 Fract. Calc. Appl. Anal. 19, No. 6, 1414-1433 (2016). MSC: 91G80 60H30 26A33 60E07 60G22 60J60 91B84 91G20 PDFBibTeX XMLCite \textit{J. Korbel} and \textit{Y. Luchko}, Fract. Calc. Appl. Anal. 19, No. 6, 1414--1433 (2016; Zbl 1354.91178) Full Text: DOI
Xu, Weijun; Xu, Weidong; Li, Hongyi; Zhang, Weiguo A study of Greek letters of currency option under uncertainty environments. (English) Zbl 1190.91144 Math. Comput. Modelling 51, No. 5-6, 670-681 (2010). MSC: 91G20 26E60 PDFBibTeX XMLCite \textit{W. Xu} et al., Math. Comput. Modelling 51, No. 5--6, 670--681 (2010; Zbl 1190.91144) Full Text: DOI
Li, Yishen; Zhang, Jin E. Option pricing with Weyl-Titchmarsh theory. (English) Zbl 1405.91635 Quant. Finance 4, No. 4, 457-464 (2004). MSC: 91G20 26A42 PDFBibTeX XMLCite \textit{Y. Li} and \textit{J. E. Zhang}, Quant. Finance 4, No. 4, 457--464 (2004; Zbl 1405.91635) Full Text: DOI