文章基本信息

标题：Black-Scholes Models with Inherited Time and Price Memory
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作者：Mahmoud Ali Jaradat
期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2018
卷号：8
期号：12
页码：1153-1160
DOI：10.6007/IJARBSS/v8-i12/5180
语种：English
出版社：Human Resource Management Academic Research Society
摘要：In this study, we examine three Black-Scholes option pricing models with inherited time and assess price memories. In other words, we take into consideration the reliance of these models on both the current state and the history of changes. A solution in the form of a bivariate time-price fractional power series is proposed for these models to study the shared influence of the memory index in both the time and price values. The findings of this study agree with the existing solutions in the literature for the classical option pricing integer-order cases. Therefore, the suggested scheme is strongly recommended to study further memory indexed financial models.