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

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.

Detalles Bibliográficos
Autores principales: Kharrat, Mohamed, Arfaoui, Hassen
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9075931/
https://www.ncbi.nlm.nih.gov/pubmed/35572160
http://dx.doi.org/10.1007/s10614-022-10264-4
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author Kharrat, Mohamed
Arfaoui, Hassen
author_facet Kharrat, Mohamed
Arfaoui, Hassen
author_sort Kharrat, Mohamed
collection PubMed
description 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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spelling pubmed-90759312022-05-09 A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model Kharrat, Mohamed Arfaoui, Hassen Comput Econ Article 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. Springer US 2022-05-06 2023 /pmc/articles/PMC9075931/ /pubmed/35572160 http://dx.doi.org/10.1007/s10614-022-10264-4 Text en © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Kharrat, Mohamed
Arfaoui, Hassen
A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
title A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
title_full A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
title_fullStr A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
title_full_unstemmed A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
title_short A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
title_sort new stabled relaxation method for pricing european options under the time-fractional vasicek model
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9075931/
https://www.ncbi.nlm.nih.gov/pubmed/35572160
http://dx.doi.org/10.1007/s10614-022-10264-4
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