European option pricing of fractional Black-Scholes model with new Lagrange multipliers

In this paper, a new identification of the Lagrange multipliers by means of the Sumudu transform, is employed to obtain a quick and accurate solution to the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. The fractional derivatives is described in Caputo sense. This method finds the analytical solution without any discretization or additive assumption. The analytical method has been applied in the form of convergent power series with easily computable components. Some illustrative examples are presented to explain the efficiency and simplicity of the proposed method.