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

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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.

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Authors and Affiliations

  1. Department of Mathematics, College of Science, Jouf University, Sakaka, Saudi Arabia

    Mohamed Kharrat

  2. Laboratory of Probability and Statistics LR18ES28, Sfax University, Sfax, Tunisia

    Mohamed Kharrat

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  1. Mohamed Kharrat
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The author [Mohamed Kharrat] contributed only to the development and the written of this paper.

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Correspondence to Mohamed Kharrat.

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Kharrat, M. Stability Analysis for Pricing European Options Regarding the Interest Rate Generated by the Time Fractional Cox-Ingersoll-Ross Processes. Methodol Comput Appl Probab 25, 50 (2023). https://doi.org/10.1007/s11009-023-10021-6

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  • DOI: https://doi.org/10.1007/s11009-023-10021-6

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