| Autor: |
Krzyżanowski, Grzegorz, Magdziarz, Marcin, Płociniczak, Łukasz |
| Rok vydání: |
2019 |
| Předmět: |
|
| Zdroj: |
Computers & Mathematics with Applications 80.5 (2020): 653-670 |
| Druh dokumentu: |
Working Paper |
| DOI: |
10.1016/j.camwa.2020.04.029 |
| Popis: |
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We derive the governing fractional differential equation and the related weighted numerical scheme being a generalization of the classical Crank-Nicolson scheme. The proposed method has $2-\alpha$ order of accuracy with respect to time where $\alpha\in(0,1)$ is the subdiffusion parameter, and $2$ with respect to space. Further, we provide the stability and convergence analysis. Finally, we present some numerical results. |
| Databáze: |
arXiv |
| Externí odkaz: |
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