Fractional model and solution for the Black-Scholes equation

DOI10.1002/MMA.4638MaRDI QIDQ4603003zbMATH OpenOpenAlexFDO

Authors Jun-Sheng Duan, Lei Lu, Li-An Chen, Yulian An

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

fractional derivativeinitial value problemmathematical financeBlack-Scholes equationterminal value problemasset pricing models

Mathematics Subject Classification ID

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

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