Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options

DOI10.1016/j.camwa.2021.02.021OpenAlexW3141805168MaRDI QIDQ2019607

S. M. Mahmoudi, A. R. Yazdanian, M. Rezaei, Ali Reza Ashrafi

Publication date: 21 April 2021

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2021.02.021

zbMATH Keywords

option pricingstability and convergencefractional stochastic differential equationfractional Black-Scholes equationdouble barrier option

Mathematics Subject Classification ID

Related Items (3)

Pricing European double barrier option with moving barriers under a fractional Black-Scholes model ⋮ Unnamed Item ⋮ Phase-field computations of anisotropic ice crystal growth on a spherical surface

Cites Work

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• OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
• Stochastic differential equations with fractional Brownian motion input

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