A stable and convergent finite difference method for fractional black-scholes model of American put option pricing
R. Kalantari, S. Shahmorad
| Year of publication: |
2019
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|---|---|
| Authors: | Kalantari, R. ; Shahmorad, S. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 53.2019, 1, p. 191-205
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| Subject: | American option pricing | Finite difference method | Fractional differential equation | Newton interpolation method | Quasi-stationary | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Finanzmathematik | Mathematical finance |