Analytic properties of American option prices under a modified Black–Scholes equation with spatial fractional derivatives
Work
Year: 2017
Type: article
Authors Wenting Chen, Kai Du, Xinzi Qiu
Institutions Jiangnan University, University of Wollongong
Cites: 23
Cited by: 12
Related to: 10
FWCI: 2.461
Citation percentile (by year/subfield): 90.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Funders National Natural Science Foundation of China, Natural Science Foundation of Jiangsu Province
Grant IDS 11601189, BK20160156