The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense (Q1634384)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense |
scientific article; zbMATH DE number 6994638
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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 |
Statements
The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense (English)
0 references
18 December 2018
0 references
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.
0 references
Black-Scholes model
0 references
fractional derivatives
0 references
generalized Mittag-Leffer function
0 references
Laplace transform homotopy perturbation method
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
