A class of fourth-order Padé schemes for fractional exotic options pricing model

DOI10.3934/era.2022046zbMath1490.91245OpenAlexW4285177672MaRDI QIDQ2127533

Jun-Feng Yin, Cheng Wang, Ming-Kai Wang

Publication date: 20 April 2022

Published in: Electronic Research Archive (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/era.2022046

zbMATH Keywords

exotic optionPadé schemes4th-order schemesfractional option pricing model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Padé approximation (41A21)

Related Items (2)

PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING ⋮ A second-order ADI method for pricing options under fractional regime-switching models

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