2024
DOI: 10.3390/fractalfract8020101
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Review of the Fractional Black-Scholes Equations and Their Solution Techniques

Hongmei Zhang,
Mengchen Zhang,
Fawang Liu
et al.

Abstract: The pioneering work in finance by Black, Scholes and Merton during the 1970s led to the emergence of the Black-Scholes (B-S) equation, which offers a concise and transparent formula for determining the theoretical price of an option. The establishment of the B-S equation, however, relies on a set of rigorous assumptions that give rise to several limitations. The non-local property of the fractional derivative (FD) and the identification of fractal characteristics in financial markets have paved the way for the… Show more

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Cited by 6 publications
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