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A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
Journal article   Open access  Peer reviewed

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

Mohamed Kharrat and Hassen Arfaoui
Computational economics, Vol.61(4), pp.1-19
01/04/2023
DOI: https://doi.org/10.1007/s10614-022-10264-4
PMID: 35572160

Abstract

26A33 34A08 91Gxx Fractional Vasicek model Pricing European option Splitting method
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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https://doi.org/10.1007/s10614-022-10264-4View
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