Numerical Solutions for the Time Fractional Black-Scholes Model Governing European Option by Using Double Integral Transform Decomposition Method

Abstract

This research paper presents a novel approach to obtaining analytical solutions for the time fractional Black-Scholes model (TFBSM), which is a mathematical model used to describe the behaviour of European options. The solutions are derived with the Double Sumudu-Elzaki Transform technique (DSET). The incorporation  (DSET) technique into a semi-analytical framework, precisely the Adomain decomposition method. The precision and efficacy of the suggested method are demonstrated through the selection of numerical examples. In conclusion, this study employs the TFBSM and the aforementioned numerical technique to price various European options.