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...
| المؤلفون الرئيسيون: | , , |
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| التنسيق: | مقال |
| اللغة: | English |
| منشور في: |
MDPI AG
2024-09-01
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| سلاسل: | Axioms |
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://www.mdpi.com/2075-1680/13/10/674 |