Numerical solution of a new generalized American option under -Caputo time-fractional derivative Heston model
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)
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- Numerical solution of the time fractional Black-Scholes model governing European options
- Quadratic convergence for valuing American options using a penalty method
- The pricing of options and corporate liabilities
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