The Convergence Investigation of a Numerical Scheme for the Tempered Fractional Black-Scholes Model Arising European Double Barrier Option
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-021-10216-4.pdf
Reference36 articles.
1. Aboelenen, T. (2020). Discontinuous Galerkin methods for fractional elliptic problems. Computational and Applied Mathematics, 39(2), 1–23.
2. Amster, P., Averbuj, C., Mariani, M., & Rial, D. (2005). A Black-Scholes option pricing model with transaction costs. Journal of Mathematical Analysis and Applications, 303(2), 688–695.
3. Azin, H., Mohammadi, F., & Machado, J. T. (2019). A piecewise spectral-collocation method for solving fractional Riccati differential equation in large domains. Computational and Applied Mathematics, 38(3), 1–13.
4. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637–654.
5. Boyarchenko, S., & Levendorskii, SZ., (2002). Non-Gaussian Merton-Black-Scholes theory, vol 9. World scientific.
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