Purpose The purpose of this paper is to evaluate a European option using the fractional version of the Black-Scholes model. Design/methodology/approach In this paper, the authors employ the block-pulse operational matrix algorithm to approximate the solution of the fractional Black-Scholes...

We consider a fractional version of the Heston model where the two standard Brownian motions are replaced by two fractional Brownian motions with Hurst parameter H ∈ (1/2, 1). We show that the stochastic differential equation admits a unique positive solution by adapting and generalizing some...

This paper derives bid and ask formulas for cap and floor contracts by using Wang trans-form under fractional version of the Vasicek interest rate model. To do this, first the parametersof the model are estimated by MLE calibration method, then standard and fractional versionof the Vasicek model...