基于时间分数赫斯顿模型的期权定价稳定性分析

IF 0.8 4区数学 Q2 MATHEMATICS

Filomat Pub Date : 2023-01-01 DOI:10.2298/fil2309685a

Hassen Arfaoui, Mohamed Kharrat

{"title":"基于时间分数赫斯顿模型的期权定价稳定性分析","authors":"Hassen Arfaoui, Mohamed Kharrat","doi":"10.2298/fil2309685a","DOIUrl":null,"url":null,"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.","PeriodicalId":12305,"journal":{"name":"Filomat","volume":"82 1","pages":"0"},"PeriodicalIF":0.8000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Stability analysis for pricing options via time fractional Heston model\",\"authors\":\"Hassen Arfaoui, Mohamed Kharrat\",\"doi\":\"10.2298/fil2309685a\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":12305,\"journal\":{\"name\":\"Filomat\",\"volume\":\"82 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Filomat\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2298/fil2309685a\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATHEMATICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Filomat","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2298/fil2309685a","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS","Score":null,"Total":0}

引用次数: 0

摘要

本文研究了赫斯顿模型下欧式期权定价的时间分数阶导数问题。我们发现了相对于所采用的数值方法所得到的解的一些正条件。此外，由于Mittag-Leffler函数的性质，我们能够建立解的稳定性结果。通过数值实验对理论结果进行了验证。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Stability analysis for pricing options via time fractional Heston model

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊