Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method

Lina Song and Weiguo Wang

Abstract and Applied Analysis, 2013, vol. 2013, 1-10

Abstract:

This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative. With the aid of symbolic calculation software, European and American put option pricing models that combine the time-fractional Black-Scholes equation with the conditions satisfied by the standard put options are numerically solved using the implicit scheme of the finite difference method.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:194286

DOI: 10.1155/2013/194286

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