European option pricing models described by fractional operators with classical and generalized Mittag-Leffler kernels

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dc.contributor.authorYavuz, Mehmet
dc.date.accessioned2024-02-23T13:03:29Z
dc.date.available2024-02-23T13:03:29Z
dc.date.issued2022
dc.departmentNEÜen_US
dc.description.abstractIn this paper, we investigate novel solutions of fractional-order option pricing models and their fundamental mathematical analyses. The main novelties of the paper are the analysis of the existence and uniqueness of European-type option pricing models providing to give fundamental solutions to them and a discussion of the related analyses by considering both the classical and generalized Mittag-Leffler kernels. In recent years, the generalizations of classical fractional operators have been attracting researchers' interest globally and they also have been needed to describe the dynamics of complex phenomena. In order to carry out the mentioned analyses, we take the Laplace transforms of either classical or generalized fractional operators into account. Moreover, we evaluate the option prices by giving the models' fractional versions and presenting their series solutions. Additionally, we make the error analysis to determine the efficiency and accuracy of the suggested method. As per the results obtained in the paper, it can be seen that the suggested generalized operators and the method constructed with these operators have a high impact on obtaining the numerical solutions to the option pricing problems of fractional order. This paper also points out a good initiative and tool for those who want to take these types of options into account either individually or institutionally.en_US
dc.identifier.doi10.1002/num.22645
dc.identifier.endpage456en_US
dc.identifier.issn0749-159X
dc.identifier.issn1098-2426
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85096790267en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage434en_US
dc.identifier.urihttps://doi.org/10.1002/num.22645
dc.identifier.urihttps://hdl.handle.net/20.500.12452/10631
dc.identifier.volume38en_US
dc.identifier.wosWOS:000770387300011en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWileyen_US
dc.relation.ispartofNumerical Methods For Partial Differential Equationsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectAtangana- Baleanu Fractional Operatoren_US
dc.subjectBlack- Scholes Option Pricing Modelsen_US
dc.subjectError Analysisen_US
dc.subjectExistence And Uniquenessen_US
dc.subjectGeneralized Mittag? Leffler Kernelen_US
dc.titleEuropean option pricing models described by fractional operators with classical and generalized Mittag-Leffler kernelsen_US
dc.typeArticleen_US

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