Fractional Black--Scholes model with regularized Prabhakar derivative

Shiva Eshaghi, Alireza Ansari, Reza Khoshsiar Ghaziani, Mohammadreza Ahmadi Darani

We introduce a fractional type Black--Scholes model in European options including the regularized Prabhakar derivative. We apply the reconstruction of variational iteration method to get the approximate analytical solutions for some models of generalized fractional Black--Scholes equations in terms of the generalized Mittag-Leffler functions.