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

DOI10.1016/j.cnsns.2020.105222zbMath1448.91299MaRDI 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 options; exact and explicit solution; FPDE Fourier cosine series expansion; regime switching FMLS model

Mathematics Subject Classification ID

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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