Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options (Q2019607): Difference between revisions

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English	Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options	scientific article

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scholarly article

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title

Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options (English)

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Computers \& Mathematics with Applications

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publication date

21 April 2021

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zbMATH Keywords

option pricing

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double barrier option

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fractional Black-Scholes equation

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fractional stochastic differential equation

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stability and convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.camwa.2021.02.021

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cites work

OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS

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Q4247098

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Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations

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Pricing and Hedging Path-Dependent Options Under the CEV Process

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Valuing American options under the CEV model by Laplace-Carson transforms

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Efficient and high accuracy pricing of barrier options under the CEV diffusion

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Numerical methods for pricing American options with time-fractional PDE models

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Analytically pricing double barrier options based on a time-fractional Black-Scholes equation

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A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion

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Numerical solution of the time fractional Black-Scholes model governing European options

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The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option

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Numerically pricing double barrier options in a time-fractional Black-Scholes model

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Stochastic differential equations with fractional Brownian motion input

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Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results

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Fractional order stochastic differential equation with application in European option pricing

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Q4233638

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Q4663944

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Identifiers

DOI

10.1016/j.camwa.2021.02.021

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2019607

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.camwa.2021.02.021
+Normal rank
@@ Property / OpenAlex ID @@
+W3141805168
@@ Property / OpenAlex ID: W3141805168 / rank @@
+Normal rank
@@ Property / cites work @@
+OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
+Normal rank
@@ Property / cites work @@
+Q4247098
@@ Property / cites work: Q4247098 / rank @@
+Normal rank
@@ Property / cites work @@
+Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging Path-Dependent Options Under the CEV Process
+Normal rank
@@ Property / cites work @@
+Valuing American options under the CEV model by Laplace-Carson transforms
+Normal rank
@@ Property / cites work @@
+Efficient and high accuracy pricing of barrier options under the CEV diffusion
+Normal rank
@@ Property / cites work @@
+Numerical methods for pricing American options with time-fractional PDE models
+Normal rank
@@ Property / cites work @@
+Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Numerical solution of the time fractional Black-Scholes model governing European options
+Normal rank
@@ Property / cites work @@
+The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
+Normal rank
@@ Property / cites work @@
+Numerically pricing double barrier options in a time-fractional Black-Scholes model
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations with fractional Brownian motion input
+Normal rank
@@ Property / cites work @@
+Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
+Normal rank
@@ Property / cites work @@
+Fractional order stochastic differential equation with application in European option pricing
+Normal rank
@@ Property / cites work @@
+Q4233638
@@ Property / cites work: Q4233638 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4663944
@@ Property / cites work: Q4663944 / rank @@
+Normal rank