Fractional Black–Scholes equation

A. Aghili ()
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A. Aghili: Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, P. O. Box 1841, Rasht, Iran

International Journal of Financial Engineering (IJFE), 2017, vol. 04, issue 01, 1-15

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.

Keywords: Fractional partial differential equations; Riemann–Liouville fractional derivative; space fractional Black–Scholes equation; Laplace transforms (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1142/S2424786317500049

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