A robust numerical simulation of a fractional Black-Scholes equation for pricing American options

DOI10.1007/s44198-024-00207-yzbMath1544.91359MaRDI QIDQ6598052

Kailash C. Patidar, Frednard Gideon, Samuel M. Nuugulu

Publication date: 4 September 2024

Published in: Journal of Nonlinear Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

American optionsfree boundary conditionstime-fractional Black-Scholes equationfront-fixing transformations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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