Fractional Black–Scholes equation-Reference-Cited by-同舟云学术

Fractional Black–Scholes equation

Published:2017-03 Issue:01 Volume:04 Page:1750004
ISSN:2424-7863
Container-title:International Journal of Financial Engineering
language:en
Short-container-title:J. Finan. Eng.

Author:

Aghili A.¹

Affiliation:

1. Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, P. O. Box 1841, Rasht, Iran

Abstract

In this paper, it has been shown that the combined use of exponential operators and special functions provides a powerful tool to solve certain class of generalized space fractional Laguerre heat equation. It is shown that exponential operators are powerful and effective method for solving certain singular integral equations and space fractional Black–Scholes equation.

Publisher

World Scientific Pub Co Pte Lt

Subject

Materials Science (miscellaneous)

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2424786317500049

Reference6 articles.

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2. North-Holland Mathematics Studies;Kilbas AA,2006

3. Option pricing with Mellin transnforms

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