A regime switching fractional Black-Scholes model and European option pricing

DOI10.1016/J.CNSNS.2020.105222MaRDI QIDQ2204497zbMATH OpenOpenAlexFDO

Authors Sha Lin, Xin-Jiang He

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

zbMATH Keywords

European optionsexact and explicit solutionFPDE Fourier cosine series expansionregime switching FMLS model

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Harmonic analysis in one variable (42A99) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• A jump-diffusion model for option pricing
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• A new exact solution for pricing European options in a two-state regime-switching economy
• A novel pricing method for European options based on Fourier-cosine series expansions
• AMERICAN OPTIONS WITH REGIME SWITCHING
• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
• Analysis of time series subject to changes in regime
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• Option pricing when underlying stock returns are discontinuous
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• The normal inverse gaussian lévy process: simulation and approximation
• The pricing of options and corporate liabilities
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• The Variance Gamma Process and Option Pricing

Cited in

(22)

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• An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
• An accurate European option pricing model under fractional stable process based on Feynman path integral
• A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations
• Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
• A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
• Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
• A new method for option pricing via time-fractional PDE
• scientific article; zbMATH DE number 6932973 (Why is no real title available?)
• A regime-switching model with the volatility smile for two-asset European options
• scientific article; zbMATH DE number 6409288 (Why is no real title available?)
• scientific article; zbMATH DE number 5172394 (Why is no real title available?)
• Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option
• Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications
• PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
• A preconditioned iterative method for coupled fractional partial differential equation in European option pricing
• A Legendre-Galerkin spectral method for option pricing under regime switching models
• Numerical computation of fractional optimal switched impulsive control problems with time-delay
• Carbon option pricing based on uncertain fractional differential equation: a binomial tree approach
• Numerical valuation of American options with liquidity shocks using IMEX methods
• Option pricing for barrier options under a regime-switching mixed fractional Brownian motion with jumps model

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