What question did this study set out to answer?

The study aims to provide a more accurate model for pricing European puts on correlated assets by incorporating time-fractional derivatives.

July 1, 2026AxiomsOpen Access

Approximate Analytical Solution of the Black–Scholes Model with Two Assets Based on the ABC Time-Fractional Derivative

View Full Paper

Ask AI

Bookmark

Authors

Randomized trial demonstrates an analytic approach for asset pricing, indicating improved market modeling accuracy.

The study aims to provide a more accurate model for pricing European puts on correlated assets by incorporating time-fractional derivatives.
Formulated a two-dimensional time-fractional Black–Scholes equation using the ABC derivative
Derived a closed-form analytical solution via the Laplace homotopy perturbation method
Proved convergence with a geometric error bound and validated results against Morton Carlo benchmarks
The closed-form price for the basket payoff is independent of inter-asset correlation.
The approximation is valid, reducing to the classical price with a 0.1% error when deep in the money as ξ→1.
The series solution satisfies the associated Atangana–Baleanu integral equation exactly.

Trachoo et al. (2026) studied this question.

View Full Paper

Ask AI

Bookmark