A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model
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Title
A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model
Authors
Keywords
Time fractional Black–Scholes model, Double barrier option, MLS method, Stability, Convergence, 34K37, 97N50, 91G80
Journal
Computational Economics
Volume -, Issue -, Pages -
Publisher
Springer Nature
Online
2019-02-02
DOI
10.1007/s10614-019-09880-4
References
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