The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option

DOI10.1016/j.apm.2016.01.027zbMath1465.91131OpenAlexW2251696129MaRDI QIDQ2290998

Yanyan Li

Publication date: 29 January 2020

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2016.01.027

zbMATH Keywords

numerical simulationstability and convergencetempered fractional derivativefractional Black-Scholes modelEuropean double barrier optionfast bi-conjugate gradient stabilized method

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

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