Mehrdoust, Farshid; Refahi Sheikhani, Amir Hosein; … - In: Journal of Economic Studies 44 (2017) 3, pp. 489-502
Purpose The purpose of this paper is to evaluate a European option using the fractional version of the Black-Scholes model. Design/methodology/approach In this paper, the authors employ the block-pulse operational matrix algorithm to approximate the solution of the fractional Black-Scholes...