On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options

DOI10.1080/00036811.2020.1712369zbMATH Open1484.91518OpenAlexW2999920797WikidataQ126329519 ScholiaQ126329519MaRDI QIDQ5164907FDOQ5164907

Authors: Xiaoying Jiang, Xiang Xu 

Publication date: 15 November 2021

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036811.2020.1712369

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zbMATH Keywords

uniquenessFredholm integral equationtime-fractional partial differential equationreconstruct volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Fractional partial differential equations (35R11) Inverse problems for integral equations (45Q05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Fredholm integral equations (45B05)

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Cited In (2)

• Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique
• Pricing European double barrier option with moving barriers under a fractional Black-Scholes model

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