A second order numerical scheme for fractional option pricing models

DOI10.4208/EAJAM.020820.121120zbMATH Open1475.91402OpenAlexW3131548600MaRDI QIDQ5014265FDOQ5014265

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Stochastic Volatility for Lévy Processes
• Title not available (Why is that?)
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
• A Black--Scholes option pricing model with transaction costs
• European Option Pricing with Transaction Costs

Cited In (6)

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

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