European option pricing models described by fractional operators with classical and generalized Mittag‐Leffler kernels

This is the second part of the paper. Here general model of the first part is implemented to design pricing models for special cases of one-dimensional incomplete final market and compact (1; S)-market.

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Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes

Abstract and Applied Analysis ◽

10.1155/2013/517480 ◽

2013 ◽

Vol 2013 ◽

pp. 1-11 ◽

Cited By ~ 1

Author(s):

R. Company ◽

L. Jódar ◽

M. Fakharany

Keyword(s):

Option Pricing ◽

Explicit Scheme ◽

Process Models ◽

European Option ◽

Pricing Models ◽

European Option Pricing ◽

Change Of Variables ◽

Discretization Schemes ◽

Suitable Change ◽

Stability And Consistency

This paper deals with the numerical analysis of PIDE option pricing models with CGMY process using double discretization schemes. This approach assumes weaker hypotheses of the solution on the numerical boundary domain than other relevant papers. Positivity, stability, and consistency are studied. An explicit scheme is proposed after a suitable change of variables. Advantages of the proposed schemes are illustrated with appropriate examples.

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Comparison of European Option Pricing Models at Multiple Periods

Advances in Data Mining and Database Management - Handbook of Research on Engineering, Business, and Healthcare Applications of Data Science and Analytics ◽

10.4018/978-1-7998-3053-5.ch008 ◽

2021 ◽

pp. 149-166

Author(s):

Amir Ahmad Dar ◽

N. Anuradha ◽

Ziadi Nihel

Keyword(s):

Option Pricing ◽

Graphical Representation ◽

European Option ◽

Pricing Models ◽

European Option Pricing ◽

Black Scholes Model ◽

Time Period ◽

Black Scholes ◽

Option Pricing Model ◽

Anderson Darling

The point of this chapter is to think about the correlation of two well-known European option pricing models – Black Scholes Model and Binomial Option Pricing Model. The above two models not statistically significant at one period. In this examination, it is shown how the above two European models are statistically significant when the time period increases. The independent paired t-test is utilized with the end goal to demonstrate that they are statistically significant to vary from one another at higher time period and the Anderson Darling test being used for the normality test. The Minitab and Excel programming has been utilized for graphical representation and the hypothesis testing.

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