Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options (Q2019607)
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scientific article; zbMATH DE number 7336203
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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; zbMATH DE number 7336203 |
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Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options (English)
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21 April 2021
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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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0.8604655265808105
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0.8132108449935913
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0.8122722506523132
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0.811187744140625
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