Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation

DOI10.22034/cmde.2021.38468.1692OpenAlexW3161952353MaRDI QIDQ5076656

Noora Habibi, Seyed Reza Hejazi, Azadeh Naderifard, Elham Dastranj

Publication date: 17 May 2022

Full work available at URL: https://cmde.tabrizu.ac.ir/article_12707_12822f8fa93da6af7bf66c87221078d7.pdf

zbMATH Keywords

finite difference methodoption pricingMarkov chaingeometric Brownian motion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Construction of exact solutions for fractional order differential equations by the invariant subspace method
• A new method for option pricing via time-fractional PDE
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