The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense (Q1634384)
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scientific article; zbMATH DE number 6994638
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| English | The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense |
scientific article; zbMATH DE number 6994638 |
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The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense (English)
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18 December 2018
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Summary: 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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Black-Scholes model
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fractional derivatives
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generalized Mittag-Leffer function
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Laplace transform homotopy perturbation method
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0.8830124735832214
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0.8768669962882996
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0.8688768148422241
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0.8458244800567627
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