The fractional Black-Scholes equation.

From MaRDI portal





The Black-Scholes equation for the option of a European call involves the first derivative in time. Replacing this derivative by a fractional derivative of order \(\alpha\), \(0<\alpha<1\), leads to the fractional Black--Scholes equation. The author gives the complete solution to this equation with the help of Mellin, Laplace transformations and Green functions. He also finds the corresponding \(\Delta(\alpha)\), the Delta of call option, \(\Delta(\alpha)=\partial C(S,t)/\partial S\). Any information about \(\Delta(\alpha)\) gives some information on the order \(\alpha\).




Cited in
(only showing first 100 items - show all)








This page was built for publication: The fractional Black-Scholes equation.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4438488)