The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense

The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense

It is well known that the Black-Scholes model is used to establish the behavior of the option pricing in the financial market. In this paper, we propose the modified version of Black-Scholes model with two assets based on the Liouville-Caputo fractional derivative. The analytical solution of the pro...

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Bibliographic Details
Main Authors: Sawangtong, Panumart, Trachoo, Kamonchat, Sawangtong, Wannika, Wiwatanapataphee, Benchawan
Format: Journal Article
Language:English
Published: MDPI 2018
Subjects:
Science & Technology
Physical Sciences
Mathematics
Black-Scholes model
fractional derivatives
generalized Mittag-Leffer function
Laplace transform homotopy perturbation method
FINITE-DIFFERENCE METHOD
AMERICAN
OPTIONS
MODEL
Online Access:http://hdl.handle.net/20.500.11937/79262

Internet

http://hdl.handle.net/20.500.11937/79262

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