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Dr. Ahmed Said Abdelaziz Hendy :: Publications:

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.

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