16 citations · 29 across the 2 of their papers we have counts for
2 papers
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…
q-fin.PR2015★ 13 cited
Pricing Parisian down-and-in options
Song-Ping Zhu, Nhat-Tan Le, Wen-Ting Chen +1
In this paper, we price American-style Parisian down-and-in call options under the Black-Scholes framework. Usually, pricing an American-style option is much more difficult than pr…