Geodesic
Pricing American put option under fractional model
Filomat, Tome 35 (2021) no. 10, p. 3433

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DOI

In this research work, our chief target is to elaborate an analytical solution of the fractional linear complement problem related to the evaluation of American put option generated by the fractional Black and Scholes model using the Adomian decomposition method, a numerical study is set forward to perform the theoretical result. Compared to the existent fractional model we prove that our result has a prompt convergence to the solution
DOI : 10.2298/FIL2110433K
Classification : 91Gxx, 26A33, 34A08
Keywords: Pricing American Option, Stochastic Volatility, Fractional Derivatives, Adomian decomposition 
Mohamed Kharrat. Pricing American put option under fractional model. Filomat, Tome 35 (2021) no. 10, p. 3433 . doi: 10.2298/FIL2110433K
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     author = {Mohamed Kharrat},
     title = {Pricing {American} put option under fractional model},
     journal = {Filomat},
     pages = {3433 },
     year = {2021},
     volume = {35},
     number = {10},
     doi = {10.2298/FIL2110433K},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/FIL2110433K/}
}
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