A different approach to the European option pricing model with new fractional operator

In 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 fractio...

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Veröffentlicht in:Mathematical modelling of natural phenomena 2018, Vol.13 (1), p.12
Hauptverfasser: Yavuz, M., Özdemir, N.
Format: Artikel
Sprache:eng
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