A 2nd-order FDM for a 2D fractional black-scholes equation
dc.contributor.author | Chen, W. | |
dc.contributor.author | Wang, Song | |
dc.date.accessioned | 2017-08-24T02:17:19Z | |
dc.date.available | 2017-08-24T02:17:19Z | |
dc.date.created | 2017-08-23T07:21:41Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | Chen, W. and Wang, S. 2017. A 2nd-order FDM for a 2D fractional black-scholes equation, pp. 46-57. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/55150 | |
dc.identifier.doi | 10.1007/978-3-319-57099-0_5 | |
dc.description.abstract |
© Springer International Publishing AG 2017. We develop a finite difference method (FDM) for a 2D fractional Black-Scholes equation arising in the optimal control problem of pricing European options on two assets under two independent geometric Lévy processes. We establish the convergence of the method by showing that the FDM is consistent, stable and monotone. We also show that the truncation error of the FDM is of 2nd order. Numerical experiments demonstrate that the method produces financially meaningful results when used for solving practical problems. | |
dc.title | A 2nd-order FDM for a 2D fractional black-scholes equation | |
dc.type | Conference Paper | |
dcterms.source.volume | 10187 LNCS | |
dcterms.source.startPage | 46 | |
dcterms.source.endPage | 57 | |
dcterms.source.title | Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) | |
dcterms.source.series | Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) | |
dcterms.source.isbn | 9783319570983 | |
curtin.department | Department of Mathematics and Statistics | |
curtin.accessStatus | Fulltext not available |
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