Numerical pricing based on fractional Black–Scholes equation with time-dependent parameters under the CEV model: Double barrier options

The empirical observations show that the constant elasticity of variance (CEV) model is a practical approach to capture the implied volatility smile phenomenon. Also, due to the appearance of long-range dependence (or long memory effect) in stock returns or volatility, the fractional Black–Scholes m...

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Veröffentlicht in:	Computers & mathematics with applications (1987) 2021-05, Vol.90, p.104-111
Hauptverfasser:	Rezaei, M., Yazdanian, A.R., Ashrafi, A., Mahmoudi, S.M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Black-Scholes equation Double barrier option Empirical analysis Exact solutions Fourier analysis Fractional Black-Scholes equation Fractional stochastic differential equation Mathematical models Option pricing Partial differential equations Pricing Stability analysis Stability and convergence Taylor series Volatility
Online-Zugang:	Volltext
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