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

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dc.contributor.authorPanumart Sawangtongen_US
dc.contributor.authorKamonchat Trachooen_US
dc.contributor.authorWannika Sawangtongen_US
dc.contributor.authorBenchawan Wiwattanapatapheeen_US
dc.contributor.otherKing Mongkut's University of Technology North Bangkoken_US
dc.contributor.otherCurtin Universityen_US
dc.contributor.otherThailand Ministry of Educationen_US
dc.contributor.otherMahidol Universityen_US
dc.date.accessioned2019-08-23T11:30:16Z
dc.date.available2019-08-23T11:30:16Z
dc.date.issued2018-07-25en_US
dc.description.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.en_US
dc.identifier.citationMathematics. Vol.6, No.8 (2018)en_US
dc.identifier.doi10.3390/math6080129en_US
dc.identifier.issn22277390en_US
dc.identifier.other2-s2.0-85052818915en_US
dc.identifier.urihttps://repository.li.mahidol.ac.th/handle/123456789/46102
dc.rightsMahidol Universityen_US
dc.rights.holderSCOPUSen_US
dc.source.urihttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85052818915&origin=inwarden_US
dc.subjectMathematicsen_US
dc.titleThe analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative senseen_US
dc.typeArticleen_US
dspace.entity.typePublication
mu.datasource.scopushttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85052818915&origin=inwarden_US

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