Coupled transform method for time-space fractional Black-Scholes option pricing model

Coupled transform method for time-space fractional Black-Scholes option pricing model

This paper presents analytical solutions of a time-space-fractional Black-Scholes model (TSFBSM) using a coupled technique referred to as Fractional Complex Transform (FCT) with the aid of a modified differential transform method. The nature of the derivatives is in the sense of Jumarie. The conside...

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Bibliographic Details
Main Authors: S.O. Edeki, R.M. Jena, S. Chakraverty, D. Baleanu
Format: Article
Language:English
Published: Elsevier 2020-10-01
Series:Alexandria Engineering Journal
Subjects:
Option pricing
Black Scholes model
RDTM
Fractional derivative
Analytical solutions
Online Access:http://www.sciencedirect.com/science/article/pii/S1110016820304087

Internet

http://www.sciencedirect.com/science/article/pii/S1110016820304087

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