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-2021-11-11MaRDI QIDQ5078152zbMATH OpenOpenAlexWikidataFDO

Authors Fadugba Sunday Emmanuel, Babalola Bayowa Teniola

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

accuracyCaputo senseeffectivenessfractional ordergeometric Brownian motionsuitability

Mathematics Subject Classification ID

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

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Cites work

• Derivatives pricing with marked point processes using tick-by-tick data
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• scientific article; zbMATH DE number 5681159 (Why is no real title available?)
• The pricing of options and corporate liabilities
• The value of an Asian option

Cited in

(7)

• On the solution of two-dimensional fractional Black-Scholes equation for European put option
• On comparative analysis for the Black-Scholes model in the generalized fractional derivatives sense via Jafari transform
• Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
• The reduced differential transform method for the Black-Scholes pricing model of European option valuation
• A fractional reduced differential transform method for solving time fractional Black Scholes American option pricing equation
• European option pricing models described by fractional operators with classical and generalized<scp>Mittag‐Leffler</scp>kernels
• Modified Differential Transform Method for Solving Black-Scholes Pricing Model of European Option Valuation Paying Continuous Dividends

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