Solution of time fractional Black-Scholes European option pricing equation arising in financial market
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 res...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2016-12-01
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| Series: | Nonlinear Engineering |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/nleng-2016-0052 |
| Summary: | 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. |
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| ISSN: | 2192-8010 2192-8029 |