Affiliation:
1. Department of Mathematics, College of Science, Jouf University, Saudi Arabia
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.
Publisher
National Library of Serbia
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