The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense

• Main Authors: Panumart Sawangtong, Kamonchat Trachoo, Wannika Sawangtong, Benchawan Wiwattanapataphee
• Other Authors: King Mongkut's University of Technology North Bangkok
• Format: Article
• Published: 2019
• Subjects: Mathematics
• Online Access: https://repository.li.mahidol.ac.th/handle/123456789/46102
• Institution: Mahidol University

© 2018 by the authors. 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 analyti...