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Home  >  Volume 38

4. A Solution of a Certain Fractional Black-Scholes Equation by Change of Variables and Hankel Transform by Bright O. Osu and Angela I. Chukwunezu Volume 38, (November, 2016), pp 23 – 30
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In the present work, we present a solution of a fractional Black-Scholes partial differential equation (FB-SDE) associated with financial application within the framework of the diffusion theory by change of variables and by Hankel integral transform. The financial derivative is expressed in terms of stock price indices. By removing the effect of the interest rate from the given FDE, a seemingly fractional heat equation is derived and solution obtained under boundary value conditions by applying these transforms.

Keywords: Fractional Black-Scholes partial differential equation, Hankel transform, Option price.

Mathematics Subject Classification: 44A15, 60H30. 98B28, 91G30