Numerical solution of fractional Black‐Scholes model of American put option pricing via a nonstandard finite difference method: Stability and convergent analysis
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DOI: 10.1002/mma.5913
Abstract: In this paper, a free boundary fractional Black‐Scholes (FBS) model of American put option pricing is investigated. To convert the free boundary FBS model to a model with known boundary condition, the quasi‐stationary method is… read more here.
Keywords: put option; nonstandard finite; american put; finite difference ... See more keywords
Put Option Pricing and Its Effects on Day-Ahead Electricity Markets
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DOI: 10.1109/jsyst.2017.2764738
Abstract: In this paper, the impacts of strike and premium prices of put option contracts on put option and day-ahead electricity markets are studied. To this end, first a comprehensive equilibrium model for a joint put… read more here.
Keywords: option day; option; day ahead; put option ... See more keywords
Hedging error estimate of the american put option problem in jump-diffusion processes
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DOI: 10.2298/fil1808813h
Abstract: We consider discrete time hedging error of the American put option in case of brusque fluctuations in the price of assets. Since continuous time hedging is not possible in practice so we consider discrete time… read more here.
Keywords: hedging error; time; time hedging; put option ... See more keywords