A new method for option pricing via time-fractional PDE-Reference-Cited by-同舟云学术

A new method for option pricing via time-fractional PDE

Published:2018-10 Issue:05 Volume:11 Page:1850074
ISSN:1793-5571
Container-title:Asian-European Journal of Mathematics
language:en
Short-container-title:Asian-European J. Math.

Author:

Saberi Elaheh¹,Hejazi S. Reza¹,Dastranj Elham¹

Affiliation:

1. Department of Mathematical Sciences, Shahrood University of Technology, Shahrood, Semnan, Iran

Abstract

In this paper, power options pricing is driven via time-fractional PDE when the dynamic of underlying asset price follows a regime switching model in which the risky underlying asset depends on a continuous-time hidden Markov chain process. An exact solution for power options pricing is driven under our considered model.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Mathematics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S1793557118500742

Reference18 articles.

1. Arbitrage Theory in Continuous Time

2. The Pricing of Options and Corporate Liabilities

3. Pricing exotic options under regime switching

4. Proceedings of a Workshop, Lawrence, K.S.;Buffington J.,2002

5. An application of hidden Markov models to asset allocation problems

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