Solving fractional Black–Scholes equation by using Boubaker functions

Abstract

The fractional Black–Scholes pricing model widely appears in financial markets. This paper presents the special class of operational matrix to approximate the solution of fractional Black–Scholes equation based on the Boubaker polynomial functions. The Boubaker operational matrix of the fractional derivative converts the model to obtain the numerical solution of the time‐fractional Black–Scholes equation. The numerical results are displayed in some tables for better illustration with testing in some examples.