A New Version of Black Scholes Equation Presented by Time-Fractional Derivative
| Author | FarhadiA. |
| Author | SalehiM. |
| Author | ErjaeeG.H. |
| Available date | 2019-10-03T10:50:02Z |
| Publication Date | 2018 |
| Publication Name | Iranian Journal of Science and Technology, Transaction A: Science |
| Resource | Scopus |
| ISSN | 10286276 |
| Abstract | In 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 |
| Sponsor | AcknowledgementsThispublicationwasmadepossiblebyNPRPgrantNPRP5-088-1-021fromtheQatarNationalResearchFund(amemberofQatarFoundation).Thestatementsmadehereinaresolelytheresponsibilityoftheauthors. |
| Language | en |
| Publisher | Springer International Publishing |
| Subject | FractionalBlack?Scholesequation Reconstructionofvariationaliterationmethod Stochasticdifferentialequation |
| Type | Article |
| Pagination | 2159-2166 |
| Issue Number | 4 |
| Volume Number | 42 |
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Mathematics, Statistics & Physics [666 items ]