European option pricing of fractional black-scholes model using sumudu transform and its derivatives
Joint Authors
Khan, Wasim Asghar
Ansari, Firyal Ijaz
Source
General Letters in Mathematics
Issue
Vol. 1, Issue 3 (31 Dec. 2016), pp.74-80, 7 p.
Publisher
Refaad Center for Studies and Research
Publication Date
2016-12-31
Country of Publication
Jordan
No. of Pages
7
Main Subjects
Abstract EN
In this work an analytical solution of Fractional Black-Scholes European option pricing equation is solved.The analytical solution is based on Sumudu Transform and its differential and integral properties.The obtained solution is presented in the form of Fractional Taylor series with easily computable components then numerical solutions are represented graphically
American Psychological Association (APA)
Khan, Wasim Asghar& Ansari, Firyal Ijaz. 2016. European option pricing of fractional black-scholes model using sumudu transform and its derivatives. General Letters in Mathematics،Vol. 1, no. 3, pp.74-80.
https://search.emarefa.net/detail/BIM-938099
Modern Language Association (MLA)
Khan, Wasim Asghar& Ansari, Firyal Ijaz. European option pricing of fractional black-scholes model using sumudu transform and its derivatives. General Letters in Mathematics Vol. 1, no. 3 (Dec. 2016), pp.74-80.
https://search.emarefa.net/detail/BIM-938099
American Medical Association (AMA)
Khan, Wasim Asghar& Ansari, Firyal Ijaz. European option pricing of fractional black-scholes model using sumudu transform and its derivatives. General Letters in Mathematics. 2016. Vol. 1, no. 3, pp.74-80.
https://search.emarefa.net/detail/BIM-938099
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 80
Record ID
BIM-938099
