European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives
نویسندگان
چکیده
منابع مشابه
European option pricing of fractional Black-Scholes model with new Lagrange multipliers
In this paper, a new identification of the Lagrange multipliers by means of the Sumudu transform, is employed to btain a quick and accurate solution to the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. The fractional derivatives is described in Caputo sen...
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ژورنال
عنوان ژورنال: General Letters in Mathematics
سال: 2016
ISSN: 2519-9269,2519-9277
DOI: 10.31559/glm2016.1.3.1