Pricing callable bonds and optimal callable time under the Fractional Black-Scholes market
Abstract
This article concerns the pricing of callable bonds and the determination of optimal call time under the fractional Black-Scholes model. By employing a discrete approximation of the continuous asset price process, we efficiently estimate the continuation value as well as the optimal callable time, and analyze the path-dependent nature of the asset dynamics under the fractional Black-Scholes model. We ensure the accuracy of the numerical estimation and perform numerical experiments to illustrate the effectiveness of the proposed method. For more lnformation and the latex file, see https://ejde.math.txstate.edu/Volumes/2026/09/abstr.html
Fields of Study & Subjects
Stochastic processes and financial applications
Fractional Differential Equations Solutions
Fuzzy Systems and Optimization
Publication details
- Journal / source
- Electronic Journal of Differential Equations
- Volume
- 2026
- Issue
- 01-??
- Pages
- 09–09
- Publication date
- 6 February 2026
- Language
- EN