A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
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Publication:5025469
DOI10.22034/cmde.2020.36000.1623zbMath1499.65426OpenAlexW3013431791MaRDI QIDQ5025469
Ali Reza Ashrafi, Ahmadreza Yazdanian, M. Rezaei, S. M. Mahmoudi
Publication date: 2 February 2022
Full work available at URL: https://cmde.tabrizu.ac.ir/article_10335_264b729cd71d9f412f817b6d5634349e.pdf
option pricingAmerican optionCEV modelcompact difference schemetime-dependent parametersfractional Black-Scholes equation
Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)
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