Publication:
The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense

Issued Date

2018-07-25

Resource Type

Article

ISSN

22277390

DOI

10.3390/math6080129

Other identifier(s)

2-s2.0-85052818915

Rights

Mahidol University

Rights Holder(s)

SCOPUS

Bibliographic Citation

Mathematics. Vol.6, No.8 (2018)

Suggested Citation

Panumart Sawangtong, Kamonchat Trachoo, Wannika Sawangtong, Benchawan Wiwattanapataphee The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense. Mathematics. Vol.6, No.8 (2018). doi:10.3390/math6080129 Retrieved from: https://repository.li.mahidol.ac.th/handle/123456789/46102

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Title

The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense

Author(s)

Panumart Sawangtong
 Kamonchat Trachoo
 Wannika Sawangtong
 Benchawan Wiwattanapataphee

Other Contributor(s)

King Mongkut's University of Technology North Bangkok
 Curtin University
 Thailand Ministry of Education
 Mahidol University

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.

Keyword(s)

Mathematics

Availability

URI

https://repository.li.mahidol.ac.th/handle/123456789/46102

Collections

Scopus 2018