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Solving fractional Black–Scholes equation by using Boubaker functions
Author(s) -
Khajehnasiri A.A.,
Safavi M.
Publication year - 2021
Publication title -
mathematical methods in the applied sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.719
H-Index - 65
eISSN - 1099-1476
pISSN - 0170-4214
DOI - 10.1002/mma.7270
Subject(s) - black–scholes model , mathematics , fractional calculus , derivative (finance) , valuation of options , matrix (chemical analysis) , mathematical analysis , finance , econometrics , volatility (finance) , materials science , economics , composite material
The fractional Black–Scholes pricing model widely appears in financial markets. This paper presents the special class of operational matrix to approximate the solution of fractional Black–Scholes equation based on the Boubaker polynomial functions. The Boubaker operational matrix of the fractional derivative converts the model to obtain the numerical solution of the time‐fractional Black–Scholes equation. The numerical results are displayed in some tables for better illustration with testing in some examples.