Pricing European and American options under fractional model

zbMATH Open1492.91377MaRDI QIDQ5085891FDOQ5085891

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

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

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)

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• On the theory of option pricing
• Title not available (Why is that?)
• Valuing American options by simulation: a simple least-squares approach
• Adomian decomposition: a tool for solving a system of fractional differential equations
• Title not available (Why is that?)
• Solving multi-term linear and non-linear diffusion-wave equations of fractional order by Adomian decomposition method
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• Weak solutions for boundary-value problems with nonlinear fractional differential inclusions
• The valuation of American options for a class of diffusion processes
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• Numerical solution of the time fractional Black-Scholes model governing European options
• An efficient computational approach for a fractional-order biological population model with carrying capacity
• An efficient analytical approach for fractional equal width equations describing hydro-magnetic waves in cold plasma
• A universal difference method for time-space fractional Black-Scholes equation
• Title not available (Why is that?)
• Title not available (Why is that?)
• Numerical methods for pricing American options with time-fractional PDE models
• On the analysis of vibration equation involving a fractional derivative with Mittag-Leffler law
• Title not available (Why is that?)
• Existence and uniqueness for nonlinear multi-variables fractional differential equations
• American options by Malliavin calculus and nonparametric variance and bias reduction methods

Cited In (5)

• Title not available (Why is that?)
• 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)