A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model

The mathematical modeling in trade and finance issues is the key purpose in the computation of the value and considering option during preferences in contract. This paper investigates the pricing of double barrier options when the price change of the underlying is considered as a fractal transmissio...

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Veröffentlicht in:	Computational economics 2020, Vol.55 (1), p.119-141
Hauptverfasser:	Golbabai, Ahmad, Nikan, Omid
Format:	Artikel
Sprache:	eng
Schlagworte:	Accuracy Arbitrage Behavioral/Experimental Economics Computer Appl. in Social and Behavioral Sciences Convergence Differential equations Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Finance Finite difference method Fractals Least squares Math Applications in Computer Science Mathematical analysis Mathematical models Methods Operations Research/Decision Theory Options trading Partial differential equations Pricing Securities prices
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