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arXiv · 2010.13411

Options Pricing for Two Stocks by Black Sholes Time Fractional Order NonLinear Partial Differential Equation

Kamran Zakaria·Saeed Hafeez
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Abstract

The BS equations with fractional order two asset price models give a better prediction of options pricing in the monetary market. In this paper, the changed form of BS-condition with two asset price models dependent on the Liovelle-Caputo derivative for good predictions of options prices are utilized. The analytical solution is demonstrated in form of convergent infinite series and obtained by the properties of Samudu Transform.

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Kamran Zakaria, Saeed Hafeez. 2020-10-26. Options Pricing for Two Stocks by Black Sholes Time Fractional Order NonLinear Partial Differential Equation. https://doi.org/10.1109/icomet48670.2020.9073866

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