Analytical solution of time-fractional N-dimensional Black-Scholes equation using LHPM
A famous Black-Scholes differential equation is used for pricing options in financial world which represents financial derivatives more significantly. Option is one of the crucial financial derivatives. Sawangtong P., Trachoo K., Sawangtong W. and Wiwattanapataphee B. obtained analytical solution of...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Accademia Piceno Aprutina dei Velati
2023-12-01
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| Series: | Ratio Mathematica |
| Subjects: | |
| Online Access: | http://eiris.it/ojs/index.php/ratiomathematica/article/view/1230 |
| Summary: | A famous Black-Scholes differential equation is used for pricing options in financial world which represents financial derivatives more significantly. Option is one of the crucial financial derivatives. Sawangtong P., Trachoo K., Sawangtong W. and Wiwattanapataphee B. obtained analytical solution of Black-Scholes equation with two assets in the Liouville-Caputo time-fractional derivative sense using Laplace homotopy perturbation method (LHPM). The aim of this paper is to derive solution of Liouville-Caputo time-fractional Black-Scholes equation with n assets using LHPM. Numerical results shows that our approach gives very accurate results and our formulas are quite close to the plain vanilla options. |
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| ISSN: | 1592-7415 2282-8214 |