Carbon option pricing based on uncertain fractional differential equation: A binomial tree approach
H Liu, Y Zhu - Mathematics and Computers in Simulation, 2024 - Elsevier
In this paper, we use a Caputo–Hadamard uncertain fractional differential equation (UFDE)
to describe the change of carbon emission rights price. Based on a binomial tree approach …
to describe the change of carbon emission rights price. Based on a binomial tree approach …
Implicit-explicit Runge–Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
In this paper, we have devised a novel class of implicit-explicit Runge–Kutta methods for the
valuation of financial derivatives under state-dependent regime-switching jump-diffusion …
valuation of financial derivatives under state-dependent regime-switching jump-diffusion …
Implicit-Explicit Higher Order Method for Pricing Options under Jump Diffusion Models
Y Chen, W Wang - 2024 - authorea.com
This article proposes an implicit-explicit (IMEX) high-order numerical method for pricing
European and American options under Merton's jump diffusion model. We incorporate the …
European and American options under Merton's jump diffusion model. We incorporate the …