A study on existence and global asymptotical Mittag-Leffler stability of fractional Black-Scholes European option pricing equation

zbMATH Open1410.91464MaRDI QIDQ3455960FDOQ3455960

Authors: K. Sayevand 

Publication date: 11 December 2015

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zbMATH Keywords

asymptotic expansionEuropean option pricingfractional Black-Scholes equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Fractional partial differential equations (35R11)

Cited In (3)

• Impulsive control strategy for the Mittag-Leffler synchronization of fractional-order neural networks with mixed bounded and unbounded delays
• Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
• Fractional Black-Scholes model with regularized Prabhakar derivative

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