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

dc.contributor.authorSawangtong, Panumart
dc.contributor.authorTrachoo, Kamonchat
dc.contributor.authorSawangtong, Wannika
dc.contributor.authorWiwatanapataphee, Benchawan
dc.date.accessioned2020-05-18T03:09:10Z
dc.date.available2020-05-18T03:09:10Z
dc.date.issued2018
dc.identifier.citationSawangtong, 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.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/79262
dc.identifier.doi10.3390/math6080129
dc.description.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.
dc.languageEnglish
dc.publisherMDPI
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectScience & Technology
dc.subjectPhysical Sciences
dc.subjectMathematics
dc.subjectBlack-Scholes model
dc.subjectfractional derivatives
dc.subjectgeneralized Mittag-Leffer function
dc.subjectLaplace transform homotopy perturbation method
dc.subjectFINITE-DIFFERENCE METHOD
dc.subjectAMERICAN
dc.subjectOPTIONS
dc.subjectMODEL
dc.titleThe Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense
dc.typeJournal Article
dcterms.source.volume6
dcterms.source.number8
dcterms.source.issn2227-7390
dcterms.source.titleMathematics
dc.date.updated2020-05-18T03:09:10Z
curtin.note

© Authors. Published by MDPI Publishing.
curtin.accessStatusOpen access
curtin.contributor.orcidWiwatanapataphee, Benchawan [0000-0003-1875-6984]
curtin.contributor.researcheridWiwatanapataphee, Benchawan [E-5421-2010]
curtin.identifier.article-numberARTN 129
curtin.contributor.scopusauthoridWiwatanapataphee, Benchawan [6508175775]


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