On the solution of two-dimensional fractional Black–Scholes equation for European put option

On the solution of two-dimensional fractional Black–Scholes equation for European put option

Abstract The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black–Scholes equation for a European put option. The Liouville–Caputo derivative was used to improve the ordinary Black–Scholes equation. The anal...

Full description

Bibliographic Details
Main Authors: Din Prathumwan, Kamonchat Trachoo
Format: Article
Language:English
Published: SpringerOpen 2020-04-01
Series:Advances in Difference Equations
Subjects:
Analytical solutions
Fractional Black–Scholes equation
European put option
Laplace homotopy perturbation method
Online Access:http://link.springer.com/article/10.1186/s13662-020-02554-8

Internet

http://link.springer.com/article/10.1186/s13662-020-02554-8

Similar Items