Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
type: Item
instance of: scholarly article
title: Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
author: M. Rezaei
author: A. R. Yazdanian
author: A. R. Ashrafi
author: S. M. Mahmoudi
publication date: 2021-04-21T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 7336203
zbMATH Keywords: option pricing
zbMATH Keywords: double barrier option
zbMATH Keywords: fractional Black-Scholes equation
zbMATH Keywords: fractional stochastic differential equation
zbMATH Keywords: stability and convergence
MaRDI profile type: Publication
full work available at URL: j.camwa.2021.02.021
OpenAlex ID: W3141805168
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DOI: 10.1016/J.CAMWA.2021.02.021
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7336203