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Journal Article
Solution of time fractional Black-Scholes European option pricing equation arising in financial marketPublished in Walter de Gruyter GmbH
2016
Volume: 5
Issue: 4
AbstractIn 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.
Publisher Copy Version
Content may be subject to copyright.Originally published at https://doi.org/10.1515/nleng-2016-0052Originally published at https://doi.org/10.1515/nleng-2016-0052
About the journal
| Journal | Data powered by TypesetNonlinear Engineering |
|---|---|
| Publisher | Data powered by TypesetWalter de Gruyter GmbH |
| ISSN | 2192-8010 |
| Open Access | No |
Authors (1)
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