Staff Members - Benha University
Numerically pricing double barrier options in a time-fractional Black-Scholes model
Computers and Mathematics with Applications • 2017
Publication Information
Authors
R.H. De Staelen, A.S. Hendy
Keywords
Not Available
Journal
Computers and Mathematics with Applications
Publisher
Not Available
Volume
Not Available
Issue
Not Available
Pages
Not Available
publication.type
International
Paper Link
Not Available
Supplementary Materials
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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.