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Solution of time fractional Black-Scholes European option pricing equation arising in financial market

Solution of time fractional Black-Scholes European option pricing equation arising in financial... Abstract In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or restrictive assumptions with the use of appropriate initial or boundary conditions. The efficiency and exactitude of the proposed methods are tested by means of three examples. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Nonlinear Engineering de Gruyter

Solution of time fractional Black-Scholes European option pricing equation arising in financial market

Nonlinear Engineering , Volume 5 (4) – Dec 1, 2016

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Publisher
de Gruyter
Copyright
Copyright © 2016 by the
ISSN
2192-8010
eISSN
2192-8029
DOI
10.1515/nleng-2016-0052
Publisher site
See Article on Publisher Site

Abstract

Abstract In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or restrictive assumptions with the use of appropriate initial or boundary conditions. The efficiency and exactitude of the proposed methods are tested by means of three examples.

Journal

Nonlinear Engineeringde Gruyter

Published: Dec 1, 2016

References