Analytically pricing double barrier options based on a time-fractional Black-Scholes equation

DOI10.1016/j.camwa.2015.03.025zbMath1443.91285OpenAlexW2143623732MaRDI QIDQ2007174

Xiang Xu, Wen-Ting Chen, Song-Ping Zhu

Publication date: 12 October 2020

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.03.025

zbMATH Keywords

fractional partial differential equationclosed-form analytical solutiondouble barrier options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10) Fractional partial differential equations (35R11)

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Cites Work

• Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
• Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• The space-time fractional diffusion equation with Caputo derivatives
• Analytical Valuation of American Options on Jump‐Diffusion Processes
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• Fractional diffusion equation on fractals: one-dimensional case and asymptotic behaviour
• Randomization and the American Put
• An exact and explicit solution for the valuation of American put options
• Derivatives pricing with marked point processes using tick-by-tick data
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