Name
Abstract | ||
|---|---|---|
In this paper we focus on the subdiffusive Black–Scholes (B–S) model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We find the governing fractional differential equation and the related weighted numerical scheme being a generalization of the classical Crank–Nicolson (C–N) scheme. The proposed method has 2−α order of accuracy with respect to time where α∈(0,1) is the subdiffusion parameter, and 2 with respect to space. Further, we provide the stability and convergence analysis. Finally, we present some numerical results. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.camwa.2020.04.029 | Computers & Mathematics with Applications |
Keywords | DocType | Volume |
Weighted finite difference method,Subdiffusion,Time fractional Black–Scholes model,European option,Caputo fractional derivative | Journal | 80 |
Issue | ISSN | Citations |
5 | 0898-1221 | 0 |
PageRank | References | Authors |
0.34 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Grzegorz Krzyżanowski | 1 | 0 | 0.34 |
| Marcin Magdziarz | 2 | 0 | 0.34 |
| Łukasz Płociniczak | 3 | 0 | 0.34 |