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AuthorFarhadiA.
AuthorSalehiM.
AuthorErjaeeG.H.
Available date2019-10-03T10:50:02Z
Publication Date2018
Publication NameIranian Journal of Science and Technology, Transaction A: Science
ISSN10286276
URIhttp://dx.doi.org/10.1007/s40995-017-0244-7
URIhttp://hdl.handle.net/10576/12018
AbstractIn this article, a new time-fractional-order Black�Scholes equation has been derived. In this derivation, the asset price satisfies in a fractional-order stochastic differential equation. Here, the effect of trend memory in financial pricing is considered. Finally, a new approximate analytical method has been used to solve our new proposed time-fractional Black�Scholes equation .
SponsorAcknowledgementsThispublicationwasmadepossiblebyNPRPgrantNPRP5-088-1-021fromtheQatarNationalResearchFund(amemberofQatarFoundation).Thestatementsmadehereinaresolelytheresponsibilityoftheauthors.
Languageen
PublisherSpringer International Publishing
dc.source Scopus
SubjectFractionalBlack?Scholesequation
SubjectReconstructionofvariationaliterationmethod
SubjectStochasticdifferentialequation
TitleA New Version of Black Scholes Equation Presented by Time-Fractional Derivative
TypeArticle
Pagination2159-2166
Issue Number4
Volume Number42


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