Exact Solution of Fractional Black-Scholes European Option Pricing Equations
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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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: Applied Mathematics
سال: 2018
ISSN: 2152-7385,2152-7393
DOI: 10.4236/am.2018.91006