Time-fractional classical Black-Scholes option pricing model via He-separation of variable transformation method for exact solutions
No Thumbnail Available
Date
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
This paper considers the exact solutions of the time-fractional classical Black-
Scholes option pricing model through the application of a method known as He-Separation of
Variable Transformation Method (HSVTM). The HSVTM combines the basic properties of the
He’s polynomials, the Homo-separation variable, the modified DTM, which increases the
efficiency and effectiveness of the proposed method. The proposed method is direct and
straight forward. Hence, it is recommended for obtaining solutions to financial models
resulting from either Ito or Stratonovich Stochastic Differential Equations (SDEs).
Keywords
QA Mathematics