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

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 pro...

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Bibliographic Details
Main Authors: Panumart Sawangtong, Kamonchat Trachoo, Wannika Sawangtong, Benchawan Wiwattanapataphee
Format: Article
Language:English
Published: MDPI AG 2018-07-01
Series:Mathematics
Subjects:
Black-Scholes model
fractional derivatives
generalized Mittag-Leffer function
Laplace transform homotopy perturbation method
Online Access:http://www.mdpi.com/2227-7390/6/8/129

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