The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense
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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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Cited in
(16)- Meshless RBFs method for numerical solutions of two-dimensional high order fractional Sobolev equations
- An efficient method for solving fractional Black-Scholes model with index and exponential decay kernels
- Novel approaches for getting the solution of the fractional Black-Scholes equation described by Mittag-Leffler fractional derivative
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- An alternative method for analytical solutions of two-dimensional Black-Scholes-Merton equation
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- Lie symmetry, exact solutions and conservation laws of time fractional Black-Scholes equation derived by the fractional Brownian motion
- Solving the general form of the fractional Black-Scholes with two assets through reconstruction variational iteration method
- An adaptive mesh based computational approach to the option price and their greeks in time fractional Black-Scholes framework
- On a non-uniform -robust IMEX-L1 mixed FEM for time-fractional PIDEs
- Solving Black-Scholes equations using fractional generalized homotopy analysis method
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