A Second Order Numerical Scheme for Fractional Option Pricing Models

DOI10.4208/EAJAM.020820.121120zbMath1475.91402OpenAlexW3131548600MaRDI QIDQ5014265

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 differenceLévy processfractional partial differential equationstock index option

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) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

Related Items (3)

A class of fourth-order Padé schemes for fractional exotic options pricing model ⋮ PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING ⋮ A second-order ADI method for pricing options under fractional regime-switching models

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• 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

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