An Efficient Numerical Method for Pricing Double-Barrier Options on an Underlying Stock Governed by a Fractal Stochastic Process
After the discovery of the fractal structures of financial markets, enormous effort has been dedicated to finding accurate and stable numerical schemes to solve fractional Black-Scholes partial differential equations. This work, therefore, proposes a numerical scheme for pricing double-barrier optio...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-05-01
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| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/7/5/389 |