The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense
© 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...
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th-mahidol.461022019-08-23T18:30:16Z The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense Panumart Sawangtong Kamonchat Trachoo Wannika Sawangtong Benchawan Wiwattanapataphee King Mongkut's University of Technology North Bangkok Curtin University Thailand Ministry of Education Mahidol University Mathematics © 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 analytical solution of the proposed model is investigated by the Laplace transform homotopy perturbation method. 2019-08-23T11:30:16Z 2019-08-23T11:30:16Z 2018-07-25 Article Mathematics. Vol.6, No.8 (2018) 10.3390/math6080129 22277390 2-s2.0-85052818915 https://repository.li.mahidol.ac.th/handle/123456789/46102 Mahidol University SCOPUS https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85052818915&origin=inward |
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Mathematics Panumart Sawangtong Kamonchat Trachoo Wannika Sawangtong Benchawan Wiwattanapataphee The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense |
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© 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 analytical solution of the proposed model is investigated by the Laplace transform homotopy perturbation method. |
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King Mongkut's University of Technology North Bangkok |
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King Mongkut's University of Technology North Bangkok Panumart Sawangtong Kamonchat Trachoo Wannika Sawangtong Benchawan Wiwattanapataphee |
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Article |
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Panumart Sawangtong Kamonchat Trachoo Wannika Sawangtong Benchawan Wiwattanapataphee |
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Panumart Sawangtong |
title |
The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense |
title_short |
The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense |
title_full |
The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense |
title_fullStr |
The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense |
title_full_unstemmed |
The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense |
title_sort |
analytical solution for the black-scholes equation with two assets in the liouville-caputo fractional derivative sense |
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2019 |
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https://repository.li.mahidol.ac.th/handle/123456789/46102 |
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1763496231255932928 |