Fractional Black-Scholes model with regularized Prabhakar derivative. (English) Zbl 1474.62361
Summary: We introduce a fractional type Black-Scholes model in European options including the regularized Prabhakar derivative. We apply the reconstruction of variational iteration method to get the approximate analytical solutions for some models of generalized fractional Black-Scholes equations in terms of the generalized Mittag-Leffler functions.
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 26A33 | Fractional derivatives and integrals |
Keywords:
generalized fractional Black-Scholes equation; regularized Prabhakar derivative; generalized Mittag-Leffler function; reconstruction of variational iteration method; Laplace transformReferences:
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