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"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Volume 6,Issue 4,July - Aug.,2019


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"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Volume 6,Issue 4,July - Aug.,2019


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"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Volume 6,Issue 4,July - Aug.,2019


Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Volume 6,Issue 4,July - Aug.,2019


Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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Successfully Published

Volume 6,Issue 4,July - Aug.,2019


Submissions open

"Submissions Open For Volume 6,Issue 5,Sept.- Oct., 2019"


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An Alternative Approach for the Derivation of the Fractional Black-Scholes Equation for the Pricing of Options and its Solution via the Mellin Transform

  • Osu, Bright O.
We derive in this contribution a fractional Black-Scholes -Merton-like valuation formulas for European power vanilla options driven by a fractional Brownian motion with Hurst indexH∈(0.5,1). Furthermore, we remove the effect of the interest rate r, using a simple transformation. Then a new technique which does not require transformation of variable for the solution of the fractional Black-Scholes partial differential equation for option prices is derived using the Mellin transforms.
Select Volume / Issue:
Year:
2015
Type of Publication:
Article
Keywords:
Fractional Black-Scholes Partial Differential Equation; Mellin Transform; Option Price
Journal:
IJASM
Volume:
2
Number:
6
Pages:
223-228
Month:
November
Hits: 1405

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