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

© 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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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
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spelling 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
institution Mahidol University
building Mahidol University Library
continent Asia
country Thailand
Thailand
content_provider Mahidol University Library
collection Mahidol University Institutional Repository
topic Mathematics
spellingShingle 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
description © 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.
author2 King Mongkut's University of Technology North Bangkok
author_facet King Mongkut's University of Technology North Bangkok
Panumart Sawangtong
Kamonchat Trachoo
Wannika Sawangtong
Benchawan Wiwattanapataphee
format Article
author Panumart Sawangtong
Kamonchat Trachoo
Wannika Sawangtong
Benchawan Wiwattanapataphee
author_sort 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
publishDate 2019
url https://repository.li.mahidol.ac.th/handle/123456789/46102
_version_ 1763496231255932928

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