Numerical analysis of fractional order Black-Scholes option pricing model with band equation method

DOI10.1016/j.cam.2024.115998zbMath1542.91423MaRDI QIDQ6581976

Xiaofei Li, Yunze Shao, Jiahao Chen

Publication date: 1 August 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Laplace transformoption pricingHilbert transformMonte Carlo simulationfractional Black-Scholes modelband matrix equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) General theory of numerical analysis in abstract spaces (65J05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for integral transforms (65R10)

This page was built for publication: Numerical analysis of fractional order Black-Scholes option pricing model with band equation method