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Dr. Ahmed Said Abdelaziz Hendy :: Publications: |
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| Title: | Numerically pricing double barrier options in a time-fractional Black-Scholes model |
| Authors: | R.H. De Staelen, A.S. Hendy |
| Year: | 2017 |
| Keywords: | Not Available |
| Journal: | Computers and Mathematics with Applications |
| Volume: | Not Available |
| Issue: | Not Available |
| Pages: | Not Available |
| Publisher: | Not Available |
| Local/International: | International |
| Paper Link: | Not Available |
| Full paper | Ahmed Said Abdelaziz Hendy_10.1016@j.camwa.2017.06.pdf |
| Supplementary materials | Not Available |
| Abstract: |
The numerical solution of the time fractional Black–Scholes model (TFBSM) of order 0 < α < 1 governing European options is studied. Zhang et al. (2016) derived a numerical scheme of second-order in space. We improve their results by constructing a scheme of fourth-order in space while keeping 2−α in time. The solvability, stability and convergence of the proposed numerical scheme are proved using a Fourier analysis. The results are demonstrated on two examples. |
