Stability analysis for pricing options via time fractional Heston model

Abstract

In this work, we have studied the time fractional-order derivative of the pricing European options under Heston model. We found some positivity conditions for the solution obtained relative to the numerical methods used. Also, thanks to the properties of the Mittag-Leffler function, we were able to establish a stability result of the solution. Some numerical experiments are carried out to confirm the theoretical results obtained.