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Pricing American put option under fractional Heston model
Journal article   Peer reviewed

Pricing American put option under fractional Heston model

Kharrat Mohamed
Pramāṇa, Vol.95(1)
01/12/2021

Abstract

Physical Sciences Physics Physics, Multidisciplinary Science & Technology
In this paper, we attempt to provide a solution for the fractional linear complementarity problem related to the evaluation of American put option generated by the fractional Heston stochastic volatility model. Using the Adomian decomposition, a numerical investigation is conducted to confirm the theoretical results.

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