An RBF Method for Time Fractional Jump-Diffusion Option Pricing Model under Temporal Graded Meshes

An RBF Method for Time Fractional Jump-Diffusion Option Pricing Model under Temporal Graded Meshes

This paper explores a numerical method for European and American option pricing under time fractional jump-diffusion model in Caputo scene. The pricing problem for European options is formulated using a time fractional partial integro-differential equation, whereas the pricing of American options is...

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Hlavní autoři: Wenxiu Gong, Zuoliang Xu, Yesen Sun
Médium: Článek
Jazyk:English
Vydáno: MDPI AG 2024-09-01
Edice:Axioms
Témata:
Caputo fractional derivative
time fractional Black-Scholes model
jump-diffusion model
option pricing
RBF method
graded meshes
On-line přístup:https://www.mdpi.com/2075-1680/13/10/674

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https://www.mdpi.com/2075-1680/13/10/674

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