Numerical solution of a new generalized American option under -Caputo time-fractional derivative Heston model
DOI10.1216/JIE.2024.36.383MaRDI QIDQ6633355FDOQ6633355
Authors: Hassen Arfaoui 
Publication date: 5 November 2024
Published in: Journal of Integral Equations and Applications (Search for Journal in Brave)
American optionHeston model\(\psi\)-Caputo fractional derivative\(\psi\)-Riemann-Liouville fractional derivative
Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
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
- Quadratic convergence for valuing American options using a penalty method
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Numerical solution of the time fractional Black-Scholes model governing European options
- A Caputo fractional derivative of a function with respect to another function
- Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
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