论文标题
美国和障碍物选项的计算加权有限差异方法
A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
论文作者
论文摘要
次扩散是物理学中良好的现象。在本文中，我们将次级动力学应用于分析金融市场。我们专注于具有移动边界的时间分数扩散模型的财务方面，即在次级黑色choles（B-S）模型中的美国和障碍选项定价。提出了两种用于评估美国选项的计算方法：加权有限差（FD）和Longstaff -Schwartz方法。在文章中，还显示了如何使用FD方法来数字上广泛的屏障选项。
Subdiffusion is a well established phenomenon in physics. In this paper we apply the subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time fractional diffusion model with moving boundary i.e. American and barrier option pricing in the subdiffusive Black-Scholes (B-S) model. Two computational methods for valuing American options in the considered model are proposed - the weighted finite difference (FD) and the Longstaff-Schwartz method. In the article it is also shown how to valuate numerically wide range of barrier options using the FD approach.
