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

zbMATH Keywords

fast Fourier transformnumerical simulationRiemann-Liouville fractional derivativeEuropean optionFMLS modelbi-conjugrate gradient stabilized method

Mathematics Subject Classification ID

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)

A class of fourth-order Padé schemes for fractional exotic options pricing model ⋮ Novel numerical techniques for the finite moment log stable computational model for European call option ⋮ A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models ⋮ Fast numerical simulation of a new time-space fractional option pricing model governing European call option ⋮ An unstructured mesh control volume method for two-dimensional space fractional diffusion equations with variable coefficients on convex domains ⋮ An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models

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