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.
|Title of host publication||PROGRESS IN INDUSTRIAL MATHEMATICS AT ECMI 2018|
|Editors||I. Faragó, F. Izsák, P. Simon|
|Place of Publication||Cham|
|Publication status||Published - 2019|
|Name||Mathematics in Industry-Cham|