کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4958370 1364812 2017 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Numerically pricing double barrier options in a time-fractional Black-Scholes model
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Numerically pricing double barrier options in a time-fractional Black-Scholes model
چکیده انگلیسی
The numerical solution of the time fractional Black-Scholes model (TFBSM) of order 0<α<1 governing European options is studied. Zhang et al. (2016) derived a numerical scheme of second-order in space. We improve their results by constructing a scheme of fourth-order in space while keeping 2−α in time. The solvability, stability and convergence of the proposed numerical scheme are proved using a Fourier analysis. The results are demonstrated on two examples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 74, Issue 6, 15 September 2017, Pages 1166-1175
نویسندگان
, ,