Pricing American put option under fractional model

Mohamed Kharrat
2021 Filomat  
In this research work, our chief target is to elaborate an analytical solution of the fractional linear complement problem related to the evaluation of American put option generated by the fractional Black and Scholes model using the Adomian decomposition method, a numerical study is set forward to perform the theoretical result. Compared to the existent fractional model we prove that our result has a prompt convergence to the solution.
doi:10.2298/fil2110433k fatcat:i4xaqfxnfve2jl63fr7t62bkzy