Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method
Keyword(s):
This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative. With the aid of symbolic calculation software, European and American put option pricing models that combine the time-fractional Black-Scholes equation with the conditions satisfied by the standard put options are numerically solved using the implicit scheme of the finite difference method.
2020 ◽
Vol 40
(1)
◽
pp. 13-27
2017 ◽
Vol 53
(1)
◽
pp. 191-205
◽
2020 ◽
Vol 171
◽
pp. 279-293
◽
Keyword(s):
Keyword(s):
2019 ◽
Vol 5
(01)
◽
pp. 41-46
2014 ◽
Vol 513-517
◽
pp. 4090-4093
2021 ◽
Vol 96
◽
pp. 105676
Keyword(s):