Solving the general form of the fractional Black–Scholes with two assets through Reconstruction Variational Iteration Method

Solving the general form of the fractional Black–Scholes with two assets through Reconstruction Variational Iteration Method

The objective of this study is to examine the dynamic components of option pricing in the European put option market by utilizing the two-dimensional time fractional-order Black–Scholes equation. To enhance the classical Black–Scholes equation, we utilize the Caputo type of the Katugampola fractiona...

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Bibliographic Details
Main Authors: Mohammad Hossein Akrami, Abbas Poya, Mohammad Ali Zirak
Format: Article
Language:English
Published: Elsevier 2024-05-01
Series:Results in Applied Mathematics
Subjects:
Katugampola fractional derivative
Mittag-Leffler function
Reconstruction of Variational Iteration Method
Online Access:http://www.sciencedirect.com/science/article/pii/S2590037424000141

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http://www.sciencedirect.com/science/article/pii/S2590037424000141

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