Examples of Analytical Solutions by Means of Mittag-Leffler Function of Fractional Black-Scholes Option Pricing Equation (original) (raw)

Fractional Calculus and Applied Analysis, 2015

Abstract

In this article, we have implemented reconstruction of variational iteration method as a new approximate analytical technique for solving fractional Black-Scholes option pricing equations. Indeed, we essentially use the well-known Mittag-Leffler function to obtain explicit solutions for some examples of financial mathematics equations.

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