A Novel Fourth-Order Finite Difference Scheme for European Option Pricing in the Time-Fractional Black–Scholes Model

A Novel Fourth-Order Finite Difference Scheme for European Option Pricing in the Time-Fractional Black–Scholes Model

This paper addresses the valuation of European options, which involves the complex and unpredictable dynamics of fractal market fluctuations. These are modeled using the <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics>...

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Bibliographic Details
Main Authors: Xin Cai, Yihong Wang
Format: Article
Language:English
Published: MDPI AG 2024-10-01
Series:Mathematics
Subjects:
time-fractional Black–Scholes equation
tailored finite point scheme
L1 discretization formula
exponential functions
European option pricing
Online Access:https://www.mdpi.com/2227-7390/12/21/3343

Internet

https://www.mdpi.com/2227-7390/12/21/3343

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