Stability analysis for pricing options via time fractional Heston model

被引：0
|
作者：
Arfaoui, Hassen [1 ]
Kharrat, Mohamed [1 ]
机构：
[1] Jouf Univ, Coll Sci, Dept Math, Sakakah, Saudi Arabia
来源：
FILOMAT | 2023年 / 37卷 / 09期
关键词：
Pricing Option; time Fractional Heston model; stability;
D O I：
10.2298/FIL2309685A
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this work, we have studied the time fractional-order derivative of the pricing European options under Heston model. We found some positivity conditions for the solution obtained relative to the numerical methods used. Also, thanks to the properties of the Mittag-Leffler function, we were able to establish a stability result of the solution. Some numerical experiments are carried out to confirm the theoretical results obtained.
引用
收藏
页码：2685 / 2697
页数：13
相关论文
共 50 条
  • [1] Mixed fractional Heston model and the pricing of American options
    Mehrdoust, F.
    Najafi, A. R.
    Fallah, S.
    Samimi, O.
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2018, 330 : 141 - 154
  • [2] Semi- Analytical Pricing of Barrier Options in the Time- Dependent Heston Model
    Carr, Peter
    Itkin, Andrey
    Muravey, Dmitry
    JOURNAL OF DERIVATIVES, 2022, 30 (02): : 141 - 171
  • [3] On pricing of discrete Asian and Lookback options under the Heston model
    Perotti, Leonardo
    Grzelak, Lech A.
    INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2024, 101 (08) : 889 - 918
  • [4] Analytical Approximation of Pricing Average Options under the Heston Model
    Yamazaki, Akira
    RECENT ADVANCES IN FINANCIAL ENGINEERING 2011, 2012, : 203 - 220
  • [5] Pricing American put option under fractional Heston model
    Mohamed, Kharrat
    PRAMANA-JOURNAL OF PHYSICS, 2021, 95 (01):
  • [6] Pricing American put option under fractional Heston model
    Kharrat Mohamed
    Pramana, 2021, 95
  • [7] New Splitting Scheme for Pricing American Options Under the Heston Model
    Maryam Safaei
    Abodolsadeh Neisy
    Nader Nematollahi
    Computational Economics, 2018, 52 : 405 - 420
  • [8] New Splitting Scheme for Pricing American Options Under the Heston Model
    Safaei, Maryam
    Neisy, Abodolsadeh
    Nematollahi, Nader
    COMPUTATIONAL ECONOMICS, 2018, 52 (02) : 405 - 420
  • [9] On the pricing of forward starting options in Heston’s model on stochastic volatility
    Susanne Kruse
    Ulrich Nögel
    Finance and Stochastics, 2005, 9 : 233 - 250
  • [10] On the pricing of forward starting options in Heston's model on stochastic volatility
    Kruse, S
    Nögel, U
    FINANCE AND STOCHASTICS, 2005, 9 (02) : 233 - 250
12345