Fractional model and solution for the Black‐Scholes equation

DOI10.1002/mma.4638zbMath1407.91289OpenAlexW2766197030MaRDI QIDQ4603003

Lian Chen, Lei Lu, Yulian An, Jun-Sheng Duan

Publication date: 8 February 2018

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.4638

zbMATH Keywords

initial value problemmathematical financeasset pricing modelsfractional derivativeBlack-Scholes equationterminal value problem

Mathematics Subject Classification ID

Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Financial applications of other theories (91G80) Laplace transform (44A10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

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