A Quantitative Approach to Fractional Option Pricing Problems with Decomposition Series

Mehmet Yavuz [1] , Necati Özdemir [2]

32 45

This study addresses a novel identification of Adomian Decomposition Method (ADM) to have an accurate and quick solution for the European option pricing problem by using Black-Scholes equation of time-fractional order (FBSE) with the initial condition and generalized Black-Scholes equation of fractional order (GFBSE). The fractional operator is understood in the Caputo mean. First of all, we redefine the Black-Scholes equation as fractional mean which computes the option price for fractional values. Then we have applied the ADM to the FBSE and GFBSE, so we have obtained accurate and quick approximate analytical solutions for these equations. The results related to the solutions have been presented in figures.

Adomian decomposition method, convergence analysis, fractional Black-Scholes model, option pricing
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Orcid: orcid.org/0000-0002-3966-6518
Yazar: Mehmet Yavuz (Sorumlu Yazar)
Kurum: Necmettin Erbakan University
Ülke: Turkey

Yazar: Necati Özdemir
Kurum: Balikesir University
Ülke: Turkey

Bibtex @araştırma makalesi { konuralpjournalmath359520, journal = {Konuralp Journal of Mathematics}, issn = {}, eissn = {2147-625X}, address = {Mehmet Zeki SARIKAYA}, year = {}, volume = {6}, pages = {102 - 109}, doi = {}, title = {A Quantitative Approach to Fractional Option Pricing Problems with Decomposition Series}, key = {cite}, author = {Özdemir, Necati and Yavuz, Mehmet} }
APA Yavuz, M , Özdemir, N . (). A Quantitative Approach to Fractional Option Pricing Problems with Decomposition Series. Konuralp Journal of Mathematics, 6 (1), 102-109. Retrieved from http://dergipark.gov.tr/konuralpjournalmath/issue/31478/359520
MLA Yavuz, M , Özdemir, N . "A Quantitative Approach to Fractional Option Pricing Problems with Decomposition Series". Konuralp Journal of Mathematics 6 (): 102-109 <http://dergipark.gov.tr/konuralpjournalmath/issue/31478/359520>
Chicago Yavuz, M , Özdemir, N . "A Quantitative Approach to Fractional Option Pricing Problems with Decomposition Series". Konuralp Journal of Mathematics 6 (): 102-109
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