Numerical Investigation of Fractional Step-Down ELS Option

In this paper, we use the finite difference methods to explore step-down Equity Linked Securities (ELS) options under fractional Black-Scholes model. We establish Crank-Nicolson scheme one asset and study impact of Hurst exponent (H) on return repayment fixed stock price. also price different H. Through numerical experiments, it is found that related H, result will increase with case two assets, implicit scheme, in three operator splitting method (OSM) semi-implicit scheme. get H influences assets. conduct Greeks analysis. analysis, find long-term correlation stocks has a huge investment gains or losses. Therefore, take historical volatility (fractal exponents) into account which can significantly reduce risk revenue for investors.