A finite difference method for pricing European and American options under a geometric Lévy process

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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...

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Bibliographic Details
Main Authors:	Chen, W., Wang, Song
Format:	Journal Article
Published:	2015
Online Access:	http://hdl.handle.net/20.500.11937/40837

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