European option pricing models described by fractional operators with classical and generalized<scp>Mittag‐Leffler</scp>kernels
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Publication:6086473
Atangana-Baleanu fractional operatorBlack-Scholes option pricing modelserror analysisexistence and uniquenessgeneralized Mittag-Leffler kernel
Fractional derivatives and integrals (26A33) Mittag-Leffler functions and generalizations (33E12) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Laplace transform (44A10) Fractional processes, including fractional Brownian motion (60G22) Error bounds for boundary value problems involving PDEs (65N15) Numerical methods for partial differential equations, boundary value problems (65N99) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cited in
(13)- Modeling and mathematical analysis of liquidity risk contagion in the banking system
- A new modified technique of Adomian decomposition method for fractional diffusion equations with initial-boundary conditions
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- Fractional magnetohydrodynamic Casson fluid flow with thermal radiation and buoyancy effects: a constant proportional Caputo model
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