Numerical simulation of a finite moment log stable model for a European call option

DOI10.1007/s11075-016-0212-xzbMath1378.91126MaRDI QIDQ2407863

Ian W. Turner, Hongmei Zhang, Fawang Liu, Qianqian Yang, Shanzhen Chen

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

zbMATH Keywords

fast Fourier transform; numerical simulation; Riemann-Liouville fractional derivative; European option; FMLS model; bi-conjugrate gradient stabilized method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

35R11: Fractional partial differential equations