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

DOI10.1016/j.cnsns.2020.105222zbMath1448.91299OpenAlexW3005491224MaRDI QIDQ2204497

Xin-Jiang He, Sha Lin

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

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

Related Items (6)

A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model ⋮ A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations ⋮ 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 ⋮ Valuation of European crude oil options with co-jump diffusions and stochastic interest rate

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