A second order numerical scheme for fractional option pricing models

DOI10.4208/EAJAM.020820.121120MaRDI QIDQ5014265zbMATH OpenOpenAlexFDO

Authors Lingxi Zhang, Ren-Feng Peng, Jun-Feng Yin

Publication date 1 December 2021

Published in East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/eajam.020820.121120

zbMATH Keywords

option pricingfinite differencefractional partial differential equationLévy processstock index option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) 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) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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Cites work

• scientific article; zbMATH DE number 1742902 (Why is no real title available?)
• A Black--Scholes option pricing model with transaction costs
• European Option Pricing with Transaction Costs
• Stochastic Volatility for Lévy Processes
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
• The pricing of options and corporate liabilities

Cited in

(8)

• Numerical method for KoBol fractional option pricing model
• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
• PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
• A second-order Nyström-type discretization for the early-exercise curve of American put options
• A second-order ADI method for pricing options under fractional regime-switching models
• A class of fourth-order Padé schemes for fractional exotic options pricing model
• Option pricing under the KoBol model
• A comparison of numerical solutions of fractional diffusion models in finance

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