Before revision:  Using the fractional versions of both the Ito's calculus and the Fokker-Planck equation, the transition probability density function of the asset price is obtained as a solution of a non-stationary Feller process with time-varying coefficients ; and the analytical valuation formula for the European Call Option is provided .
After revision:  Using the fractional versions of both the Ito's calculus and the Fokker-Planck equation, the transition probability density function of the asset price is obtained as a solution of a non-stationary Feller process with time-varying coefficients , getting an analytical valuation formula for the European Call Option is provided .