@article{(Open Science Index):https://publications.waset.org/pdf/10011894,
	  title     = {Derivation of Fractional Black-Scholes Equations Driven by Fractional G-Brownian Motion and Their Application in European Option Pricing},
	  author    = {Changhong Guo and  Shaomei Fang and  Yong He},
	  country	= {},
	  institution	= {},
	  abstract     = {In this paper, fractional Black-Scholes models for the
European option pricing were established based on the fractional
G-Brownian motion (fGBm), which generalizes the concepts of
the classical Brownian motion, fractional Brownian motion and
the G-Brownian motion, and that can be used to be a tool for
considering the long range dependence and uncertain volatility
for the financial markets simultaneously. A generalized fractional
Black-Scholes equation (FBSE) was derived by using the Taylor’s
series of fractional order and the theory of absence of arbitrage.
Finally, some explicit option pricing formulas for the European call
option and put option under the FBSE were also solved, which
extended the classical option pricing formulas given by F. Black and
M. Scholes.},
	    journal   = {International Journal of Mathematical and Computational Sciences},
	  volume    = {15},
	  number    = {3},
	  year      = {2021},
	  pages     = {24 - 30},
	  ee        = {https://publications.waset.org/pdf/10011894},
	  url   	= {https://publications.waset.org/vol/171},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 171, 2021},
	}