European Vanilla Option Pricing Model of Fractional Order without Singular Kernel

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dc.contributor.authorYavuz, Mehmet
dc.contributor.authorOzdemir, Necati
dc.date.accessioned2024-02-23T14:35:08Z
dc.date.available2024-02-23T14:35:08Z
dc.date.issued2018
dc.departmentNEÜen_US
dc.description.abstractRecently, fractional differential equations (FDEs) have attracted much more attention in modeling real-life problems. Since most FDEs do not have exact solutions, numerical solution methods are used commonly. Therefore, in this study, we have demonstrated a novel approximate-analytical solution method, which is called the Laplace homotopy analysis method (LHAM) using the Caputo-Fabrizio (CF) fractional derivative operator. The recommended method is obtained by combining Laplace transform (LT) and the homotopy analysis method (HAM). We have used the fractional operator suggested by Caputo and Fabrizio in 2015 based on the exponential kernel. We have considered the LHAM with this derivative in order to obtain the solutions of the fractional Black-Scholes equations (FBSEs) with the initial conditions. In addition to this, the convergence and stability analysis of the model have been constructed. According to the results of this study, it can be concluded that the LHAM in the sense of the CF fractional derivative is an effective and accurate method, which is computable in the series easily in a short time.en_US
dc.identifier.doi10.3390/fractalfract2010003
dc.identifier.issn2504-3110
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85057803436en_US
dc.identifier.urihttps://doi.org/10.3390/fractalfract2010003
dc.identifier.urihttps://hdl.handle.net/20.500.12452/15896
dc.identifier.volume2en_US
dc.identifier.wosWOS:000458257800003en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherMdpien_US
dc.relation.ispartofFractal And Fractionalen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectFractional Option Pricing Problemen_US
dc.subjectCaputo-Fabrizio Fractional Derivativeen_US
dc.subjectHomotopy Analysis Methoden_US
dc.subjectLaplace Transformen_US
dc.titleEuropean Vanilla Option Pricing Model of Fractional Order without Singular Kernelen_US
dc.typeArticleen_US

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