A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model

Mohamed Kharrat () and Hassen Arfaoui ()
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Mohamed Kharrat: Jouf University
Hassen Arfaoui: Jouf University

Computational Economics, 2023, vol. 61, issue 4, No 16, 1745-1763

Abstract: Abstract Our objective is to solve the time-fractional Vasicek model for European options with a new stabled relaxation method. This new approach is based on the splitting method. Some numerical tests are presented to show the stability and the reliability of our approach with the theory of options.

Keywords: Pricing European option; Fractional Vasicek model; Splitting method; 91Gxx; 26A33; 34A08 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10614-022-10264-4

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