A regime switching fractional Black-Scholes model and European option pricing
From MaRDI portal
Publication:2204497
DOI10.1016/j.cnsns.2020.105222zbMath1448.91299MaRDI QIDQ2204497
Publication date: 15 October 2020
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2020.105222
European options; exact and explicit solution; FPDE Fourier cosine series expansion; regime switching FMLS model
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
42A99: Harmonic analysis in one variable
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
35R11: Fractional partial differential equations
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