• Pricing American put option under fractional Heston model

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    • Keywords


      Pricing American option; stochastic volatility; fractional Heston model; Adomian decomposition

    • Abstract


      In this paper, we attempt to provide a solution for the fractional linear complementarity problem related to the evaluation of American put option generated by the fractional Heston stochastic volatility model. Using the Adomian decomposition, a numerical investigation is conducted to confirm the theoretical results.

    • Author Affiliations



      1. Mathematics Department, College of Science, Jouf University, P.O. Box 2014, Sakaka, Saudi Arabia
      2. Laboratory of Probability and Statistics LR18ES28, Faculty of Sciences, Sfax University, Sfax, Tunisia
    • Dates

  • Pramana – Journal of Physics | News

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