European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives

doi:https://doi.org/DOI:10.31559/glm2016.1.3.1

Volume 1 - Issue 3 (1) | PP: 74 - 80 Language : English
DOI : https://doi.org/DOI:10.31559/glm2016.1.3.1

776

European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives

Received Date	Revised Date	Accepted Date	Publication Date
20/9/2016	17/10/2016	26/11/2016	27/12/2016

Abstract

In this work an analytical solution of Fractional Black-Scholes European option pricing equation is solved.The analytical solution is based on Sumudu Transform and its differential and integral properties.The obtained solution is presented in the form of Fractional Taylor series with easily computable components. Numerical solutions are represented graphically.

Keywords: Sumudu Transform, Fractional integrals and derivatives for Sumudu Transform, Basic definitionsof Fractional Calculus, Fractional Black-Scholes European option pricing equations, Fractional Sumudu Transformmethod.

How To Cite This Article

Khan , W. A. & Ansari , F. A. (2016). European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives . General Letters in Mathematics, 1 (3), 74-80, DOI:10.31559/glm2016.1.3.1

Copyright © 2024, This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.