DOAJ Open Access 2023

Analytical solution of time-fractional N-dimensional Black-Scholes equation using LHPM

Sanjay Ghevariya CHETANBHAI PATEL

Abstrak

A famous Black-Scholes differential equation is used for pricing options in financial world which represents financial derivatives more significantly. Option is one of the crucial financial derivatives. Sawangtong P., Trachoo K., Sawangtong W. and Wiwattanapataphee B. obtained analytical solution of Black-Scholes equation with two assets in the Liouville-Caputo time-fractional derivative sense using Laplace homotopy perturbation method (LHPM). The aim of this paper is to derive solution of Liouville-Caputo time-fractional Black-Scholes equation with n assets using LHPM. Numerical results shows that our approach gives very accurate results and our formulas are quite close to the plain vanilla options.

Topik & Kata Kunci

Mathematics Probabilities. Mathematical statistics

Penulis (2)

Sanjay Ghevariya

CHETANBHAI PATEL

Format Sitasi

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Ghevariya, S., PATEL, C. (2023). Analytical solution of time-fractional N-dimensional Black-Scholes equation using LHPM. https://doi.org/10.23755/rm.v48i0.1230

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Informasi Jurnal

Tahun Terbit: 2023
Sumber Database: DOAJ
DOI: 10.23755/rm.v48i0.1230
Akses: Open Access ✓