Closed-Form Solution of European Option under Fractional Vasicek Model

Seham Al. Roweathi; Mohamed Kharrat

Seham Al. Roweathi Mathematics Department, College of Science, Jouf University, Sakaka, Saudi Arabia
Mohamed Kharrat Mathematics Department, College of Science, Jouf University, Sakaka, Saudi Arabia

Keywords: Fractional Vasicek model, European option, Stochastic Interest Rate, Adomian Decomposition

Abstract

This paper specifically deals with how the powerful tools of fractional calculus are applied to compute European option prices under the Fractional Vasicek Model.

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http://dx.doi.org/10.1016/j.camwa.2016.02.007 (2016)