Pricing European and American options under fractional model

MaRDI QIDQ5085891zbMATH OpenFDO

Authors Mohamed Kharrat

Publication date 30 June 2022

Full work available at URL https://pjm.ppu.edu/sites/default/files/papers/PJM_Speciall_Issue_II_March_2022_63_to_73.pdf

zbMATH Keywords

stochastic volatilityAdomian decompositionpricing American optionfractional Heston modelpricing European optionfractional Black and Scholes model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fractional partial differential equations (35R11) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• Pricing Options Under Time-Fractional Model Using Adomian Decomposition
• Option pricing under the fractional stochastic volatility model
• scientific article; zbMATH DE number 6452524
• Mixed fractional Heston model and the pricing of American options
• An American binary option pricing in a fractional Black-Scholes model

Cites work

• scientific article; zbMATH DE number 3986325 (Why is no real title available?)
• scientific article; zbMATH DE number 6932973 (Why is no real title available?)
• scientific article; zbMATH DE number 6949560 (Why is no real title available?)
• scientific article; zbMATH DE number 7441400 (Why is no real title available?)
• scientific article; zbMATH DE number 7089055 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A universal difference method for time-space fractional Black-Scholes equation
• Adomian decomposition: a tool for solving a system of fractional differential equations
• American options by Malliavin calculus and nonparametric variance and bias reduction methods
• An efficient analytical approach for fractional equal width equations describing hydro-magnetic waves in cold plasma
• An efficient computational approach for a fractional-order biological population model with carrying capacity
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• Existence and uniqueness for nonlinear multi-variables fractional differential equations
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Numerical methods for pricing American options with time-fractional PDE models
• Numerical solution of the time fractional Black-Scholes model governing European options
• On the analysis of vibration equation involving a fractional derivative with Mittag-Leffler law
• On the theory of option pricing
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Solving multi-term linear and non-linear diffusion-wave equations of fractional order by Adomian decomposition method
• The pricing of options and corporate liabilities
• The valuation of American options for a class of diffusion processes
• Valuing American options by simulation: a simple least-squares approach
• Weak solutions for boundary-value problems with nonlinear fractional differential inclusions

Cited in

(5)

• scientific article; zbMATH DE number 6932973 (Why is no real title available?)
• The two-point Geske-Johnson approximation of American put option pricing
• Mixed fractional Heston model and the pricing of American options
• An American binary option pricing in a fractional Black-Scholes model
• Option pricing under the fractional stochastic volatility model

This page was built for publication: Pricing European and American options under fractional model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5085891)