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Black-Scholes Equation with Distributed Order in Time

  • Luísa Morgado
  • Magda RebeloEmail author
Conference paper
Part of the Mathematics in Industry book series (MATHINDUSTRY, volume 30)

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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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Center for Computational and Stochastic Mathematics (CEMAT)Lisbon and Departamento de Matemática, Universidade de Trás-os-Montes e Alto DouroQuinta de PradosPortugal
  2. 2.Centro de Matemática e Aplicações (CMA)Departamento de Matemática, Faculdade de Ciências e Tecnologia, Universidade NOVA de LisboaQuinta de PradosPortugal

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