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Coupled transform method for time-space fractional Black-Scholes option pricing model

Edeki, S.O. and Jena, R. M. and Chakraverty, S. and Baleanu, D. (2020) Coupled transform method for time-space fractional Black-Scholes option pricing model. Alexandria Engineering Journal, 59. pp. 3239-3246.

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This paper presents analytical solutions of a time-space-fractional Black-Scholes model (TSFBSM) using a coupled technique referred to as Fractional Complex Transform (FCT) with the aid of a modified differential transform method. The nature of the derivatives is in the sense of Jumarie. The considered cases and applications show more consistency of the TSFBSM with an actual integer and fractional data when compared with the classical Black-Scholes model. The method is noted to be very effective, even with little knowledge of fractional calculus. Extension of this to multi-factor models formulated in terms of stochastic dynamics is highly recommended. � 2020 The Authors. Published by Elsevier B.V. on behalf of Faculty of Engineering, Alexandria

Item Type: Article
Uncontrolled Keywords: Option pricing; Black Scholes model; RDTM; Fractional derivative; Analytical solutions
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Engineering, Science and Mathematics > School of Mathematics
Depositing User: Mrs Patricia Nwokealisi
Date Deposited: 01 Jun 2022 09:56
Last Modified: 01 Jun 2022 09:56

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