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Jumarie, G. (2008) Stock Exchange Fractional Dynamics Defined as Fractional Exponential Growth Driven by Usual Guassian White Noise: Application to Fractional Black-Scholes Equation. Insurance: Mathematics and Economics, 42, 271-287.
https://doi.org/10.1016/j.insmatheco.2007.03.001

has been cited by the following article:

• TITLE: Application of Elzaki Transform Method to Market Volatility Using the Black-Scholes Model

  AUTHORS: Henrietta Ify Ojarikre, Ideh Rapheal, Ebimene James Mamadu

  KEYWORDS: Elzaki Transform Method, European Call, Black-Scholes Model, Fokker-Planck Equation, Market Volatility

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.12 No.3, March 26, 2024

  ABSTRACT: Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of European Stock options and establish the theoretical foundation for Option pricing. Therefore, this paper evaluates the Black-Schole model in simulating the European call in a cash flow in the dependent drift and focuses on obtaining analytic and then approximate solution for the model. The work also examines Fokker Planck Equation (FPE) and extracts the link between FPE and B-SM for non equilibrium systems. The B-SM is then solved via the Elzaki transform method (ETM). The computational procedures were obtained using MAPLE 18 with the solution provided in the form of convergent series.