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

16 citations · 16 across the 1 of their papers we have counts for

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1 paper

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…