Numerical methods for pricing American options with time-fractional PDE models

DOI10.1155/2016/5614950zbMath1400.91656OpenAlexW2261648163WikidataQ59131612 ScholiaQ59131612MaRDI QIDQ1793314

Zhiqiang Zhou, Xuemei Gao

Publication date: 12 October 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/5614950

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

Related Items (8)

Laplace transform methods for a free boundary problem of time-fractional partial differential equation system ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Pricing Options Under Time-Fractional Model Using Adomian Decomposition ⋮ An efficient numerical method for the valuation of American multi-asset options ⋮ Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options ⋮ Unnamed Item ⋮ Unnamed Item ⋮ A compact quadratic spline collocation method for the time-fractional Black-Scholes model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Moving finite element methods for time fractional partial differential equations
• A predictor-corrector approach for pricing American options under the finite moment log-stable model
• Valuing American options under the CEV model by Laplace-Carson transforms
• Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
• Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
• An approximate moving boundary method for American option pricing
• A moving boundary approach to American option pricing
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• Randomization and the American Put
• Derivatives pricing with marked point processes using tick-by-tick data

This page was built for publication: Numerical methods for pricing American options with time-fractional PDE models