European option pricing models described by fractional operators with classical and generalized<scp>Mittag‐Leffler</scp>kernels

DOI10.1002/num.22645OpenAlexW3099846835WikidataQ115397637 ScholiaQ115397637MaRDI QIDQ6086473

Mehmet Yavuz

Publication date: 12 December 2023

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.22645

zbMATH Keywords

error analysisexistence and uniquenessgeneralized Mittag-Leffler kernelAtangana-Baleanu fractional operatorBlack-Scholes option pricing models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Error bounds for boundary value problems involving PDEs (65N15) Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) Mittag-Leffler functions and generalizations (33E12) Laplace transform (44A10) Existence problems for PDEs: global existence, local existence, non-existence (35A01) PDEs with randomness, stochastic partial differential equations (35R60) Numerical methods for partial differential equations, boundary value problems (65N99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)

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