Numerical simulation of a finite moment log stable model for a European call option
DOI10.1007/s11075-016-0212-xzbMath1378.91126OpenAlexW2545450475MaRDI QIDQ2407863
Hongmei Zhang, Qianqian Yang, Shanzhen Chen, Fawang Liu, Ian W. Turner
Publication date: 6 October 2017
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://eprints.qut.edu.au/103539/14/103539.pdf
fast Fourier transformnumerical simulationRiemann-Liouville fractional derivativeEuropean optionFMLS modelbi-conjugrate gradient stabilized method
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)
Related Items (6)
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