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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.
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| 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 |