{"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":null,"pages":null},"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\":null,\"pages\":null},\"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}
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.
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