Numerical Valuation of European and American Options under Fractional Black-Scholes Model
In this paper, we investigate the numerical valuation of European and American options under the time fractional Black-Scholes model. We first apply a coordinate stretching transformation to the asset price so that the spatial region can focus on the vicinity of singularities, which are usually foun...
| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | English |
| Publicado em: |
MDPI AG
2022-03-01
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| coleção: | Fractal and Fractional |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/2504-3110/6/3/143 |