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Pricing American put option under fractional Heston model

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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.

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Acknowledgements

The author would like to thank the referee for the constructive comments, which improved the quality and readability of this paper.

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Authors and Affiliations

  1. Mathematics Department, College of Science, Jouf University, P.O. Box 2014, Sakaka, Saudi Arabia

    Kharrat Mohamed

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

    Kharrat Mohamed

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  1. Kharrat Mohamed
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Correspondence to Kharrat Mohamed.

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Mohamed, K. Pricing American put option under fractional Heston model. Pramana - J Phys 95, 3 (2021). https://doi.org/10.1007/s12043-020-02039-z

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  • DOI: https://doi.org/10.1007/s12043-020-02039-z

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