Geodesic
Stability analysis for pricing options via time fractional Heston model
Filomat, Tome 37 (2023) no. 9, p. 2685

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DOI

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.
DOI : 10.2298/FIL2309685A
Classification : 91Gxx, 26A33, 65N12
Keywords: Pricing Option, time Fractional Heston model, stability 
Hassen Arfaoui; Mohamed Kharrat. Stability analysis for pricing options via time fractional Heston model. Filomat, Tome 37 (2023) no. 9, p. 2685 . doi: 10.2298/FIL2309685A
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     author = {Hassen Arfaoui and Mohamed Kharrat},
     title = {Stability analysis for pricing options via time fractional {Heston} model},
     journal = {Filomat},
     pages = {2685 },
     year = {2023},
     volume = {37},
     number = {9},
     doi = {10.2298/FIL2309685A},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/FIL2309685A/}
}
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