The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense

Sawangtong, Panumart; Trachoo, Kamonchat; Sawangtong, Wannika; Wiwatanapataphee, Benchawan

doi:10.3390/math6080129

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Open access

Authors

Sawangtong, Panumart

Trachoo, Kamonchat

Sawangtong, Wannika

Wiwatanapataphee, Benchawan

Date

2018

Type

Journal Article

Metadata

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Citation

Sawangtong, P. and Trachoo, K. and Sawangtong, W. and Wiwattanapataphee, B. 2018. The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense. Mathematics. 6 (8): Article No. 129.

Source Title

Mathematics

Remarks

URI

http://hdl.handle.net/20.500.11937/79262

Collection

Curtin Research Publications

Abstract

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.

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