{"title":"用黑肖尔斯时间分数阶非线性偏微分方程求解两种股票的期权定价","authors":"K. Zakaria, S. Hafeez","doi":"10.1109/iCoMET48670.2020.9073866","DOIUrl":null,"url":null,"abstract":"The BS equations with fractional order two asset price model give the 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 is utilized. The analytical solution is demonstrated in form of convergent infinite series and obtained by the properties of Samdu Transform.","PeriodicalId":431051,"journal":{"name":"2020 3rd International Conference on Computing, Mathematics and Engineering Technologies (iCoMET)","volume":"169 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Options Pricing for Two Stocks by Black – Sholes Time Fractional Order Non – Linear Partial Differential Equation\",\"authors\":\"K. Zakaria, S. Hafeez\",\"doi\":\"10.1109/iCoMET48670.2020.9073866\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The BS equations with fractional order two asset price model give the 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 is utilized. The analytical solution is demonstrated in form of convergent infinite series and obtained by the properties of Samdu Transform.\",\"PeriodicalId\":431051,\"journal\":{\"name\":\"2020 3rd International Conference on Computing, Mathematics and Engineering Technologies (iCoMET)\",\"volume\":\"169 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2020 3rd International Conference on Computing, Mathematics and Engineering Technologies (iCoMET)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/iCoMET48670.2020.9073866\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2020 3rd International Conference on Computing, Mathematics and Engineering Technologies (iCoMET)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/iCoMET48670.2020.9073866","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Options Pricing for Two Stocks by Black – Sholes Time Fractional Order Non – Linear Partial Differential Equation
The BS equations with fractional order two asset price model give the 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 is utilized. The analytical solution is demonstrated in form of convergent infinite series and obtained by the properties of Samdu Transform.
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