Analytical solution of time fractional Black-Scholes equation with two assets through new Sumudu Transform iterative method

DOI10.56947/gjom.v15i1.1060zbMath1522.91256OpenAlexW4386251071MaRDI QIDQ6057551

Rajshree Mishra, Mansoor Ahmad, Renu Jain

Publication date: 5 October 2023

Published in: Gulf Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.56947/gjom.v15i1.1060

zbMATH Keywords

Caputo fractional derivativeEuropean option pricinggeneralized Mittag-Leffler functionfractional Black-Scholes equationnew Sumudu transform iterative method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Mittag-Leffler functions and generalizations (33E12) Fractional partial differential equations (35R11)