Study on Fuzzy Fractional European Option Pricing Model with Mittag-Leffler Kernel

Abstract

We investigate the fuzzy fractional European option pricing models in the sense of the fuzzy AtanganaBaleanu derivative in this paper. The paper’s main contribution is the analysis of the existence and uniqueness of the fuzzy European-type option pricing model that provides a fundamental solution. Moreover, we set up a new scheme for approximating solutions of this model based on fuzzy homotopy perturbation transform method. This procedure is used successfully on two examples for finding the solutions