Numerical method for KoBol fractional option pricing model

DOI10.11908/J.ISSN.0253-374X.20082MaRDI QIDQ4984759zbMATH OpenFDO

Authors Lingxi Zhang, Jun-Feng Yin

Publication date 26 April 2021

Full work available at URL https://doi.org/10.11908/J.ISSN.0253-374X.20082

zbMATH Keywords

finite difference methodfractional partial differential equationLévy processoption pricingstock index option

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11) Processes with independent increments; Lévy processes (60G51) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(3)

• A comparison of numerical solutions of fractional diffusion models in finance
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