Numerically pricing American and European options using a time fractional Black–Scholes model in financial decision-making

Numerically pricing American and European options using a time fractional Black–Scholes model in financial decision-making

The time fractional Black–Scholes equation (TFBSE) is designed to evaluate price fluctuations within a correlated fractal transmission system. This model prices American or European put and call options on non-dividend-paying stocks. Reliable and efficient numerical techniques are essential for solv...

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Bibliographic Details
Main Authors: Omid Nikan, Jalil Rashidinia, Hossein Jafari
Format: Article
Language:English
Published: Elsevier 2025-01-01
Series:Alexandria Engineering Journal
Subjects:
Fractional Black–Scholes equation
American option
European option
LRBFPUM
Convergence
Stability
Online Access:http://www.sciencedirect.com/science/article/pii/S1110016824012481
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