@article{Chukwunezu_Osu_Olunkwa_Obi_2019, title={On the Solution of Fractional Option Pricing Model by Convolution Theorem}, volume={2}, url={https://earthlinepublishers.com/index.php/ejms/article/view/104}, DOI={10.34198/ejms.2119.143157}, abstractNote={<p>The classical Black-Scholes equation driven by Brownian motion has no memory, therefore it is proper to replace the Brownian motion with fractional Brownian motion (FBM) which has long-memory due to the presence of the Hurst exponent. In this paper, the option pricing equation modeled by fractional Brownian motion is obtained. It is further reduced to a one-dimensional heat equation using Fourier transform and then a solution is obtained by applying the convolution theorem.</p&gt;}, number={1}, journal={Earthline Journal of Mathematical Sciences}, author={Chukwunezu, A. I. and Osu, B. O. and Olunkwa, C. and Obi, C. N.}, year={2019}, month={May}, pages={143-157} }