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Black-Scholes Models with Inherited Time and Price Memory

Mahmoud Ali Jaradat ()

International Journal of Academic Research in Accounting, Finance and Management Sciences, 2018, vol. 8, issue 4, 177-182

Abstract: In this study, we examine three Black-Scholes option pricing models with inherited time and assess price memories. In other words, we take into consideration the reliance of these models on both the current state and the history of changes. A solution in the form of a bivariate time-price fractional power series is proposed for these models to study the shared influence of the memory index in both the time and price values. The findings of this study agree with the existing solutions in the literature for the classical option pricing integerorder cases. Therefore, the suggested scheme is strongly recommended to study further memory indexed financial models.

Keywords: Fractional Black-Scholes; Memory index; Fractional time-price power series solution (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:hur:ijaraf:v:8:y:2018:i:4:p:177-182

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