Solution of the fractional Black-Scholes option pricing model by finite difference method (Q2015204): Difference between revisions
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Revision as of 23:49, 19 March 2024
scientific article
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| English | Solution of the fractional Black-Scholes option pricing model by finite difference method |
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Solution of the fractional Black-Scholes option pricing model by finite difference method (English)
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23 June 2014
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Summary: This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative. With the aid of symbolic calculation software, European and American put option pricing models that combine the time-fractional Black-Scholes equation with the conditions satisfied by the standard put options are numerically solved using the implicit scheme of the finite difference method.
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