A second-order ADI method for pricing options under fractional regime-switching models

DOI10.3934/nhm.2023028MaRDI QIDQ6196447

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Publication date: 14 March 2024

Published in: Networks and Heterogeneous Media (Search for Journal in Brave)

zbMATH Keywords

second-order schemes; fractional option pricing model; regime-switching European options pricing

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

26A33: Fractional derivatives and integrals

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

Cites Work

• Unnamed Item
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