A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model

被引：4
|
作者：
Kharrat, Mohamed [1 ]
Arfaoui, Hassen [1 ]
机构：
[1] Jouf Univ, Coll Sci, Math Dept, Sakaka, Saudi Arabia
来源：
COMPUTATIONAL ECONOMICS | 2023年 / 61卷 / 04期
关键词：
Pricing European option; Fractional Vasicek model; Splitting method; SYSTEM; ORDER;
D O I：
10.1007/s10614-022-10264-4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Our objective is to solve the time-fractional Vasicek model for European options with a new stabled relaxation method. This new approach is based on the splitting method. Some numerical tests are presented to show the stability and the reliability of our approach with the theory of options.
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页码：1745 / 1763
页数：19
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