Citation
Abdullah Aljethi, Reem and Kılıçman, Adem
(2022)
Financial applications on fractional Levy Stochastic processes.
Fractal and Fractional, 6 (5).
art. no. 278.
pp. 1-12.
ISSN 2504-3110
Abstract
In this present work, we perform a numerical analysis of the value of the European style options as well as a sensitivity analysis for the option price with respect to some parameters of the model when the underlying price process is driven by a fractional Lévy process. The option price is given by a deterministic representation by means of a real valued function satisfying some fractional PDE. The numerical scheme of the fractional PDE is obtained by means of a weighted and shifted Grunwald approximation.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Institute for Mathematical Research |
| DOI Number: | https://doi.org/10.3390/fractalfract6050278 |
| Publisher: | Multidisciplinary Digital Publishing Institute |
| Keywords: | European option pricing; Lévy process; Fractional diffusion equations; Sensitivity analysis |
| Depositing User: | Ms. Che Wa Zakaria |
| Date Deposited: | 17 Jun 2023 22:46 |
| Last Modified: | 17 Jun 2023 22:46 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.3390/fractalfract6050278 |
| URI: | http://psasir.upm.edu.my/id/eprint/101520 |
| Statistic Details: | View Download Statistic |
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