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

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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

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