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20092023
most citedAnalytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives

16 citations · 58 across the 27 of their papers we have counts for

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q-fin.CP2017★ 16 cited

Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives

Wenting Chen, Kai Du, Xinzi Qiu

This paper investigates analytic properties of American option prices under the finite moment log-stable (FMLS) model. Under this model the price of American options is characteris…