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dc.contributor.authorYavuz, Mehmet
dc.contributor.authorÖzdemir, Necati
dc.date.accessioned2019-08-06T12:35:48Z
dc.date.available2019-08-06T12:35:48Z
dc.date.issued2018en_US
dc.identifier.issn0973-5348
dc.identifier.issn1760-6101
dc.identifier.urihttps://doi.org/ 10.1051/mmnp/2018009
dc.identifier.urihttps://hdl.handle.net/20.500.12462/5897
dc.descriptionÖzdemir, Necati (Balikesir Author)en_US
dc.description.abstractIn this work, we have derived an approximate solution of the fractional Black-Scholes models using an iterative method. The fractional differentiation operator used in this paper is the well-known conformable derivative. Firstly, we redefine the fractional Black-Scholes equation, conformable fractional Adomian decomposition method (CFADM) and conformable fractional modified homotopy perturbation method (CFMHPM). Then, we have solved the fractional Black-Scholes (FBS) and generalized fractional Black-Scholes (GFBS) equations by using the proposed methods, which can analytically solve the fractional partial differential equations (FPDE). In order to show the efficiencies of these methods, we have compared the numerical and exact solutions of these two option pricing problems by using in pricing the actual market data. Also, we have found out that the proposed models are very efficient and powerful techniques in finding approximate solutions of the fractional Black-Scholes models which are considered in conformable sense.en_US
dc.language.isoengen_US
dc.publisherEdp Sciences S Aen_US
dc.relation.isversionof10.1051/mmnp/2018009en_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectConformable Fractional Derivativeen_US
dc.subjectApproximate-Analytical Solutionen_US
dc.subjectFractional Option Pricing Equationen_US
dc.subjectAdomian Decomposition Methoden_US
dc.subjectModified Homotopy Perturbation Methoden_US
dc.titleA different approach to the european option pricing model with new fractional operatoren_US
dc.typearticleen_US
dc.relation.journalMathematical Modelling of Natural Phenomenaen_US
dc.contributor.departmentFen Edebiyat Fakültesien_US
dc.contributor.authorID0000-0002-3966-6518en_US
dc.identifier.volume13en_US
dc.identifier.issue1en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US


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