Numerical solutions for fractional differential equations for Lévy jump models in finance: an application to pricing of call and put options

zbMATH Open1369.91194MaRDI QIDQ5283665FDOQ5283665

Authors: Worawimuit Pienplairrattana, Elvin J. Moore 

Publication date: 24 July 2017

Recommendations

• A finite difference method for pricing European and American options under a geometric Lévy process
• Numerical study for European option pricing equations with non-Levy jumps
• Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
• scientific article; zbMATH DE number 6452524
• Solution of the fractional Black-Scholes option pricing model by finite difference method

zbMATH Keywords

Crank-Nicolson schemesuccessive overrelaxationfinancial optionsKoBol processfractional diffusion model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cited In (3)

• Numerical study for European option pricing equations with non-Levy jumps
• The numerical strategy of tempered fractional derivative in European double barrier option
• A finite difference method for pricing European and American options under a geometric Lévy process

This page was built for publication: Numerical solutions for fractional differential equations for Lévy jump models in finance: an application to pricing of call and put options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5283665)