Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
DOI10.1007/s00009-022-02104-4zbMath1492.91430OpenAlexW4286631447MaRDI QIDQ2167823
Ahmadreza Yazdanian, Maryam Rezaei
Publication date: 31 August 2022
Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00009-022-02104-4
time-dependent barrierimplicit difference schemedouble barrier optionsfractional Black-Scholes equation
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)
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