An efficient wavelet based approximation method to time fractional Black-Scholes European option pricing problem arising in financial market

Abstract

In this paper, a wavelet based hybrid method is employed to provide the quick and accurate solutions of fractional Black-Scholes equation with boundary condition for a European option pricing (EOP) problem. The fractional Black-Scholes is used as a model for valuing European or American call and put options on a non-dividend paying stock. To the best of our knowledge, until now there is no rigorous Legendre wavelet solutions have been reported for the fractional Black-Scholes