A finite difference method for pricing European and American options under a geometric Lévy process
In this paper we develop a numerical approach to a fractional-order differential Linear Complementarity Problem (LCP) arising in pricing European and American options under a geometric Lévy process. The LCP is first approximated by a nonlinear penalty fractional Black-Scholes (fBS) equation. We then...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/40837 |