A second-order ADI method for pricing options under fractional regime-switching models

DOI10.3934/nhm.2023028MaRDI QIDQ6196447

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Publication date: 14 March 2024

Published in: Networks and Heterogeneous Media (Search for Journal in Brave)

zbMATH Keywords

second-order schemesfractional option pricing modelregime-switching European options pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
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• Option pricing when underlying stock returns are discontinuous

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