A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
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American optionCEV modelcompact difference schemefractional Black-Scholes equationoption pricingtime-dependent parameters
Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A closed-form approximation for the fractional Black-Scholes model with transaction costs
- A jump-diffusion model for option pricing
- A moving boundary approach to American option pricing
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- A simple approach for pricing barrier options with time-dependent parameters
- A space-time fractional derivative model for European option pricing with transaction costs in fractal market
- Almost sure and moment stability properties of fractional order Black-Scholes model
- An approximate moving boundary method for American option pricing
- An Artificial Boundary Method for American Option Pricing under the CEV Model
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Asymptotic approach to the pricing of geometric Asian options under the CEV model
- Asymptotics of implied volatility in local volatility models
- CEV asymptotics of American options
- Compact finite difference method for the fractional diffusion equation
- Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
- Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- Efficient Monte Carlo option pricing under CEV model
- European option pricing of fractional Black-Scholes model with new Lagrange multipliers
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- Fractional order stochastic differential equation with application in European option pricing
- Higher order finite difference method for the reaction and anomalous-diffusion equation
- scientific article; zbMATH DE number 2152342 (Why is no real title available?)
- Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
- Mixed fractional Heston model and the pricing of American options
- Numerical methods for pricing American options with time-fractional PDE models
- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- On optimal stopping and free boundary problems
- Option pricing when underlying stock returns are discontinuous
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Pricing Asian options in a stochastic volatility model with jumps
- Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
- Solving a partial differential equation associated with the pricing of power options with time-dependent parameters
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- The pricing of options and corporate liabilities
- The solutions to a bi-fractional Black-Scholes-Merton differential equation
- Using two collocation methods to solve the Black-Scholes partial differential equation of American options
- Valuing American options under the CEV model by Laplace-Carson transforms
Cited in
(12)- Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation
- A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics
- Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
- Numerical solution of fractional Black-Scholes model of American put option pricing via a nonstandard finite difference method: stability and convergent analysis
- Option pricing using stochastic volatility model under Fourier transform of nonlinear differential equation
- Compact finite difference schemes of the time fractional Black-Scholes model
- Approximate price of the option under discretization by applying fractional quadratic interpolation
- Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping
- European lookback option pricing with floating strike price under fractional Black-Scholes models
- Numerical pricing of American options under a nonlinear Black-Scholes framework with mixed fractional Brownian motion
- A neural network-based algorithm for pricing European barrier options
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