Stability Analysis for Pricing European Options Regarding the Interest Rate Generated by the Time Fractional Cox-Ingersoll-Ross Processes

Mohamed Kharrat ()
Additional contact information
Mohamed Kharrat: College of Science, Jouf University

Methodology and Computing in Applied Probability, 2023, vol. 25, issue 2, 1-13

Abstract: Abstract In this paper, we introduce a new methodology for pricing European options when the interest rate is generated by the Time Fractional Cox-Ingersoll-Ross processes. A study was undertaken to corroborate the reliability, goodness of fit and stability of our approach. Certain numerical experiments were conducted so as to prove the obtained theoretical findings.

Keywords: European option; Fractional Cox-Ingersoll-Ross model; Splitting method; 91Gxx; 26A33; 34A08 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11009-023-10021-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:25:y:2023:i:2:d:10.1007_s11009-023-10021-6

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-023-10021-6

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().