Numerical simulation of a Finite Moment Log Stable model for a European call option
作者: H. ZhangF. LiuI. TurnerS. ChenQ. Yang
作者单位: 1Fuzhou University
2Queensland University of Technology
3Southwestern University of Finance and Economics
4Shandong University
刊名: Numerical Algorithms, 2017, Vol.75 (3), pp.569-585
来源数据库: Springer Journal
DOI: 10.1007/s11075-016-0212-x
关键词: The FMLS modelRiemann-Liouville fractional derivativeNumerical simulationFast Fourier transformBi-conjugrate gradient stabilized methodEuropean option
英文摘要: Compared to the classical Black-Scholes model for pricing options, the Finite Moment Log Stable (FMLS) model can more accurately capture the dynamics of the stock prices including large movements or jumps over small time steps. In this paper, the FMLS model is written as a fractional partial differential equation and we will present a new numerical scheme for solving this model. We construct an implicit numerical scheme with second order accuracy for the FMLS and consider the stability and convergence of the scheme. In order to reduce the storage space and computational cost, we use a fast bi-conjugate gradient stabilized method (FBi-CGSTAB) to solve the discrete scheme. A numerical example is presented to show the efficiency of the numerical method and to demonstrate the order of...
原始语种摘要: Compared to the classical Black-Scholes model for pricing options, the Finite Moment Log Stable (FMLS) model can more accurately capture the dynamics of the stock prices including large movements or jumps over small time steps. In this paper, the FMLS model is written as a fractional partial differential equation and we will present a new numerical scheme for solving this model. We construct an implicit numerical scheme with second order accuracy for the FMLS and consider the stability and convergence of the scheme. In order to reduce the storage space and computational cost, we use a fast bi-conjugate gradient stabilized method (FBi-CGSTAB) to solve the discrete scheme. A numerical example is presented to show the efficiency of the numerical method and to demonstrate the order of...
全文获取路径: Springer  (合作)
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来源刊物:
影响因子:1.128 (2012)

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关键词翻译
关键词翻译
  • option 选择
  • model 模型
  • European 欧洲人
  • prices 行情
  • implicit 隐含的
  • pricing 定价
  • simulation 模拟
  • stock 岩株
  • Black 布莱克
  • numerical 数字的