A different approach to the European option pricing model with new fractional operator
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Publication:4615565
DOI10.1051/MMNP/2018009zbMATH Open1405.91658OpenAlexW2795839441WikidataQ130025790 ScholiaQ130025790MaRDI QIDQ4615565FDOQ4615565
Authors:
Publication date: 29 January 2019
Published in: Mathematical Modelling of Natural Phenomena (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/mmnp/2018009
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Adomian decomposition methodconformable fractional derivativeapproximate-analytical solutionmodified homotopy perturbation methodfractional option pricing equation
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Decomposition methods (49M27) Financial applications of other theories (91G80)
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Cited In (41)
- Mathematical modelling of atherosclerosis
- Chaotic dynamics of a fractional order HIV-1 model involving AIDS-related cancer cells
- Solving Black-Scholes equations using fractional generalized homotopy analysis method
- Characterizations of two different fractional operators without singular kernel
- A new investigation on fractional-ordered neutral differential systems with state-dependent delay
- A quantitative approach to fractional option pricing problems with decomposition series
- More properties of the proportional fractional integrals and derivatives of a function with respect to another function
- Novel comparison of numerical and analytical methods for fractional Burger-Fisher equation
- Modeling, discretization, and hyperchaos detection of conformable derivative approach to a financial system with market confidence and ethics risk
- Title not available (Why is that?)
- Vulnerable European call option pricing based on uncertain fractional differential equation
- New collocation scheme for solving fractional partial differential equations
- Numerical analysis of fractional order Black-Scholes option pricing model with band equation method
- European option pricing models described by fractional operators with classical and generalized<scp>Mittag‐Leffler</scp>kernels
- European option pricing of fractional Black-Scholes model with new Lagrange multipliers
- Fractional view of heat‐like equations via the Elzaki transform in the settings of the Mittag–Leffler function
- An efficient analytical approach for fractional equal width equations describing hydro-magnetic waves in cold plasma
- Fractional order oxygen–plankton system under climate change
- Analytical and numerical approaches to nerve impulse model of fractional‐order
- A new operator splitting method for American options under fractional Black-Scholes models
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- A degenerate parabolic logistic equation
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- Fractional order model of immune cells influenced by cancer cells
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