Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option

DOI10.1007/s11075-023-01563-4zbMath1530.91609OpenAlexW4382242593MaRDI QIDQ6145561

V. V. Anh, Ian W. Turner, Xingyu An, Fawang Liu, Qingxia Wang

Publication date: 9 January 2024

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-023-01563-4

zbMATH Keywords

parameter estimationoption pricingempirical studiestime-fractional Black-Scholes

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) Derivative securities (option pricing, hedging, etc.) (91G20)

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