Progress in Industrial Mathematics at ECMI 2018 pp 313-319 | Cite as
Black-Scholes Equation with Distributed Order in Time
Abstract
In this work we consider a Black-Scholes model which consists of a generalization of a fractional Black-Scholes equation model proposed previously. A numerical scheme is presented to solve such type of models and some numerical results are presented for European double-knock out barrier options. In this way, we are able to conclude that this generalized model is able to describe other scenarios than the ones described with the classical (integer-order) and the fractional Black-Scholes models.
Notes
Acknowledgements
The authors acknowledge the Fundação para a Ciência e a Tecnologia (Portuguese Foundation for Science and Technology) through projects UID/Multi/04621/2013 and UID/MAT/00297/2013 (Centro de Matemática e Aplicações), respectively.
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