scientific article; zbMATH DE number 6949560

zbMATH Open1416.91377MaRDI QIDQ4686014FDOQ4686014

Authors: Mohamed Kharrat 

Publication date: 9 October 2018

Title of this publication is not available (Why is that?)

zbMATH Keywords

stochastic volatilityAdomian decompositionfractional Heston modelpricing European option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11) Stochastic models in economics (91B70)

Cited In (7)

• Pricing Options Under Time-Fractional Model Using Adomian Decomposition
• Stability analysis for pricing European options regarding the interest rate generated by the time fractional Cox-Ingersoll-Ross processes
• A closed-form approximation formula for pricing European options under a three-factor model
• Closed-form solutions to some nonlinear fractional partial differential equations arising in mathematical sciences
• Pricing European and American options under fractional model
• A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• Title not available (Why is that?)

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