scientific article; zbMATH DE number 6949560

MaRDI QIDQ4686014zbMATH OpenFDO

Authors Mohamed Kharrat

Publication date 9 October 2018

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
• Closed-form solutions to some nonlinear fractional partial differential equations arising in mathematical sciences
• scientific article; zbMATH DE number 7556299 (Why is no real title available?)
• A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• Pricing European and American options under fractional model
• 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

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