A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
DOI10.1016/j.cnsns.2020.105676zbMath1459.91220arXiv2003.05358OpenAlexW3104675892MaRDI QIDQ2656030
Marcin Magdziarz, Grzegorz Krzyżanowski
Publication date: 10 March 2021
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.05358
subdiffusionweighted finite difference methodtime fractional Black-Scholes modelAmerican option numerical evaluation
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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