Stability analysis for pricing options via time fractional Heston model
نویسندگان
چکیده
In this work, we have studied the time fractional-order derivative of pricing European options under Heston model. We found some positivity conditions for solution obtained relative to numerical methods used. Also, thanks properties Mittag-Leffler function, were able establish a stability result solution. Some experiments are carried out confirm theoretical results obtained.
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ژورنال
عنوان ژورنال: Filomat
سال: 2023
ISSN: ['2406-0933', '0354-5180']
DOI: https://doi.org/10.2298/fil2309685a