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- Title
Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method.
- Authors
Lina Song; WeiguoWang
- Abstract
This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative. With the aid of symbolic calculation software, European and American put option pricing models that combine the time-fractional Black-Scholes equation with the conditions satisfied by the standard put options are numerically solved using the implicit scheme of the finite difference method.
- Subjects
BLACK-Scholes model; FRACTIONAL calculus; MATHEMATICAL models of option; FINITE difference method; LIOUVILLE'S theorem
- Publication
Abstract & Applied Analysis, 2013, p1
- ISSN
1085-3375
- Publication type
Article
- DOI
10.1155/2013/194286