A computational weighted finite difference method for American and barrier options in subdiffusive B...
A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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Subdiffusion is a well established phenomenon in physics. In this paper we apply the subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time fractional diffusion model with moving boundary i.e. American and barrier option pricing in the subdiffusive Black-Scholes (B-S) model. Two computational methods for valuin...
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Full title
A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
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TN_cdi_proquest_journals_2376454300
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2376454300
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E-ISSN
2331-8422
DOI
10.48550/arxiv.2003.05358
