On the analysis of Black-Scholes equation for European call option involving a fractional order with generalized two dimensional differential transform method

DOI10.7153/fdc-2021-11-11OpenAlexW4206965533WikidataQ115157777 ScholiaQ115157777MaRDI QIDQ5078152

Babalola Bayowa Teniola, Fadugba Sunday Emmanuel

Publication date: 20 May 2022

Published in: Fractional Differential Calculus (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7153/fdc-2021-11-11

zbMATH Keywords

accuracyeffectivenessgeometric Brownian motionfractional ordersuitabilityCaputo sense

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• The value of an Asian option
• Derivatives pricing with marked point processes using tick-by-tick data