Refaad for Studies, Research and Developement
European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives
2519-9269 (Print)
2519-9277 (Online)
Volume 1
Issue 3
2016
Oct
0
European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives
74
80
English
Waseem Asghar KhanDepartment of Mathematics and Basic Sciences, Balochistan UET Khuzdar waseemasg@gmail.com
Faryal Aijaz AnsariGovt. Girls Higher Secondary school Khairpur faryal.aijaz@gmail.com
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.
Sumudu Transform; Fractional integrals and derivatives for Sumudu Transform; Basic definitions
of Fractional Calculus; Fractional Black-Scholes European option pricing equations; Fractional Sumudu Transform
method.
http://www.refaad.com/views/glm/glm131.html
http://www.refaad.com/Files/GLM/GLM-2016-3-1.pdf