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

DOI10.1016/j.camwa.2017.06.005zbMath1415.91315OpenAlexW2625182672MaRDI QIDQ1659943

Rob H. De Staelen, Ahmed S. Hendy

Publication date: 23 August 2018

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.06.005

zbMATH Keywords

stabilityconvergencenumerical schemeBlack-Scholesfractional differential equationdouble barrier option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

Related Items (47)

Reconstruction of a space-dependent source in the inexact order time-fractional diffusion equation ⋮ A local meshless method for time fractional nonlinear diffusion wave equation ⋮ An accurate solution for the generalized Black-Scholes equations governing option pricing ⋮ An adaptive moving mesh method for a time-fractional Black-Scholes equation ⋮ An RBF based finite difference method for the numerical approximation of multi-term nonlinear time fractional two dimensional diffusion-wave equation ⋮ Application of two-dimensional Fibonacci wavelets in fractional partial differential equations arising in the financial market ⋮ Pricing European double barrier option with moving barriers under a fractional Black-Scholes model ⋮ Stabilization of impulsive fractional-order dynamic systems involving the Caputo fractional derivative of variable-order via a linear feedback controller ⋮ Landweber iterative method for identifying the initial value problem of the time-space fractional diffusion-wave equation ⋮ Computational approach based on wavelets for financial mathematical model governed by distributed order fractional differential equation ⋮ Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients ⋮ High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options ⋮ Fast numerical scheme for the time-fractional option pricing model with asset-price-dependent variable order ⋮ Computational algorithm for financial mathematical model based on European option ⋮ Simultaneous inversion of two initial values for a time‐fractional diffusion‐wave equation ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Nonuniform difference schemes for multi-term and distributed-order fractional parabolic equations with fractional Laplacian ⋮ Pointwise error estimates of compact difference scheme for mixed-type time-fractional Burgers' equation ⋮ The quasi-reversibility regularization method for backward problem of the multi-term time-space fractional diffusion equation ⋮ A nonstationary iterated quasi-boundary value method for reconstructing the source term in a time-space fractional diffusion equation ⋮ A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance ⋮ A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation ⋮ Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials ⋮ Short memory fractional differential equations for new memristor and neural network design ⋮ A meshless local collocation method for time fractional diffusion wave equation ⋮ A new operator splitting method for American options under fractional Black-Scholes models ⋮ Unnamed Item ⋮ Third Order Iterative Method for Nonlinear Difference Schemes ⋮ Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option ⋮ SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL ⋮ Identifying the source function for time fractional diffusion with non-local in time conditions ⋮ Numerical approximation of a time-fractional Black-Scholes equation ⋮ The backward problem for a time-fractional diffusion-wave equation in a bounded domain ⋮ Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing ⋮ Unnamed Item ⋮ Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options ⋮ The fractional Landweber method for identifying the space source term problem for time-space fractional diffusion equation ⋮ The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes ⋮ Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation ⋮ A compact quadratic spline collocation method for the time-fractional Black-Scholes model ⋮ A novel numerical scheme for a time fractional Black-Scholes equation ⋮ Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation ⋮ Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market ⋮ An efficient compact difference method for temporal fractional subdiffusion equations ⋮ A second order numerical method for the time-fractional Black-Scholes European option pricing model ⋮ COMPACT FINITE DIFFERENCE SCHEMES OF THE TIME FRACTIONAL BLACK-SCHOLES MODEL ⋮ A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• On a class of non-linear delay distributed order fractional diffusion equations
• Numerical methods with fourth-order spatial accuracy for variable-order nonlinear Stokes first problem for a heated generalized second grade fluid
• Finite difference approximations for the fractional Fokker-Planck equation
• Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1\)]
• Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
• Numerical solution of the time fractional Black-Scholes model governing European options
• A fully discrete difference scheme for a diffusion-wave system
• Numerical Schemes with High Spatial Accuracy for a Variable-Order Anomalous Subdiffusion Equation
• A Novel High Order Space-Time Spectral Method for the Time Fractional Fokker--Planck Equation

This page was built for publication: Numerically pricing double barrier options in a time-fractional Black-Scholes model