Stability Analysis for Pricing European Options Regarding the Interest Rate Generated by the Time Fractional Cox-Ingersoll-Ross Processes

被引：0
|
作者：
Mohamed Kharrat
机构：
[1] College of Science,Department of Mathematics
[2] Jouf University,Laboratory of Probability and Statistics LR18ES28
[3] Sfax University,undefined
来源：
Methodology and Computing in Applied Probability | 2023年 / 25卷
关键词：
European option; Fractional Cox-Ingersoll-Ross model; Splitting method; 91Gxx; 26A33; 34A08;
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学科分类号：
摘要：
In this paper, we introduce a new methodology for pricing European options when the interest rate is generated by the Time Fractional Cox-Ingersoll-Ross processes. A study was undertaken to corroborate the reliability, goodness of fit and stability of our approach. Certain numerical experiments were conducted so as to prove the obtained theoretical findings.
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