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

MaRDI QIDQ5283665zbMATHFDO

Authors Worawimuit Pienplairrattana, Elvin J. Moore

Publication date 24 July 2017

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)

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Cited in

(3)

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

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