Table of Contents Author Guidelines Submit a Manuscript
Abstract and Applied Analysis
Volume 2013, Article ID 194286, 10 pages
Research Article

Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method

Center for Econometric Analysis and Forecasting, School of Mathematics and Quantitative Economics, Dongbei University of Finance and Economics, Dalian 116025, China

Received 17 March 2013; Revised 2 June 2013; Accepted 16 June 2013

Academic Editor: Changbum Chun

Copyright © 2013 Lina Song and Weiguo Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative. With the aid of symbolic calculation software, European and American put option pricing models that combine the time-fractional Black-Scholes equation with the conditions satisfied by the standard put options are numerically solved using the implicit scheme of the finite difference method.