European Option Pricing of Fractional Version of the Black-Scholes Model: Approach Via Expansion in Series

Abstract

This paper presents the decomposition method for solution of the fractional Black-Scholes equa- tion with boundary condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. This method finds the analytical solution without any dis- cretization or additive assumption. The numerical method has been applied in the form of convergent power series with easily computable components, to solve the fractional Black-Scholes equations.