A new operator splitting method for American options under fractional Black-Scholes models
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Publication:2203918
DOI10.1016/j.camwa.2018.12.007zbMath1442.65151OpenAlexW2905233627WikidataQ128754832 ScholiaQ128754832MaRDI QIDQ2203918
Publication date: 2 October 2020
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2018.12.007
linear complementarity problemoperator splittingfractional calculusorder of convergenceAmerican optionBlack-Scholes
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Fractional partial differential equations (35R11)
Related Items (12)
Path-dependent game options with Asian features ⋮ A novel analytical technique for the solution of time-fractional Ivancevic option pricing model ⋮ An adaptive moving mesh method for a time-fractional Black-Scholes equation ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL ⋮ The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method ⋮ On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options ⋮ Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation ⋮ Stability and error analysis of operator splitting methods for American options under the Black-Scholes model ⋮ Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation ⋮ A second order numerical method for the time-fractional Black-Scholes European option pricing model ⋮ Semi-implicit FEM for the valuation of American options under the Heston model
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