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 |
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Other Authors: | King Mongkut's University of Technology North Bangkok |
Format: | Article |
Published: |
2019
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Subjects: | |
Online Access: | https://repository.li.mahidol.ac.th/handle/123456789/46102 |
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Institution: | Mahidol University |
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