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Keywords = generalized Mittag-Leffer function

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Article
The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense
by Panumart Sawangtong, Kamonchat Trachoo, Wannika Sawangtong and Benchawan Wiwattanapataphee
Mathematics 2018, 6(8), 129; https://doi.org/10.3390/math6080129 - 25 Jul 2018
Cited by 33 | Viewed by 8503
Abstract
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 [...] Read more.
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. Full article
(This article belongs to the Special Issue Advances in Differential and Difference Equations with Applications)
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