| publication name | Numerically pricing double barrier options in a time-fractional Black-Scholes model |
|---|---|
| Authors | R.H. De Staelen, A.S. Hendy |
| year | 2017 |
| keywords | |
| 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 | download |
| 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.