Numerical Valuation of European and American Options under Fractional Black-Scholes Model

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...

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Bibliographic Details
Main Authors: Pei Yang, Zuoliang Xu
Format: Article
Language:English
Published: MDPI AG 2022-03-01
Series:Fractal and Fractional
Subjects:
time fractional Black-Scholes model
American options
radial basis functions
operator splitting
improved L1 approximation
Online Access:https://www.mdpi.com/2504-3110/6/3/143

Internet

https://www.mdpi.com/2504-3110/6/3/143

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