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...
| Main Authors: | , , |
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| 格式: | 文件 |
| 语言: | English |
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MDPI AG
2024-09-01
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| 丛编: | Axioms |
| 主题: | |
| 在线阅读: | https://www.mdpi.com/2075-1680/13/10/674 |