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

TL;DR

This paper introduces a fractional order nonlinear PDE model for options pricing on two stocks, utilizing the Liovelle-Caputo derivative and Samudu Transform to improve prediction accuracy.

Contribution

It develops a novel fractional PDE model for two-asset options pricing and provides an analytical solution using advanced mathematical transforms.

Findings

Enhanced options pricing accuracy with fractional PDE model

Analytical solutions derived via Samudu Transform

Better market prediction compared to classical models

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.