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|Title:||The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense|
King Mongkut's University of Technology North Bangkok
Thailand Ministry of Education
|Citation:||Mathematics. Vol.6, No.8 (2018)|
|Abstract:||© 2018 by the authors. 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.|
|Appears in Collections:||Scopus 2018|
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