scientific article; zbMATH DE number 7551020

zbMath1492.91377MaRDI QIDQ5085891

Mohamed Kharrat

Publication date: 30 June 2022

Full work available at URL: https://pjm.ppu.edu/sites/default/files/papers/PJM_Speciall_Issue_II_March_2022_63_to_73.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic volatilityAdomian decompositionpricing American optionfractional Heston modelpricing European optionfractional Black and Scholes model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Adomian decomposition: a tool for solving a system of fractional differential equations
• On the theory of option pricing
• Solving multi-term linear and non-linear diffusion-wave equations of fractional order by Adomian decomposition method
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Numerical methods for pricing American options with time-fractional PDE models
• A universal difference method for time-space fractional Black-Scholes equation
• Numerical solution of the time fractional Black-Scholes model governing European options
• An efficient computational approach for a fractional-order biological population model with carrying capacity
• An efficient analytical approach for fractional equal width equations describing hydro-magnetic waves in cold plasma
• The Valuation of American Options for a Class of Diffusion Processes
• On the analysis of vibration equation involving a fractional derivative with Mittag‐Leffler law
• American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: