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Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform


Citation

Elbeleze, Asma Ali and Kilicman, Adem and M. Taib, Bachok (2013) Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform. Mathematical Problems in Engineering, 2013. art. no. 524852. pp. 1-7. ISSN 1024-123X

Abstract / Synopsis

The homotopy perturbation method, Sumudu transform, and He’s polynomials are combined to obtain the solution of fractional Black-Scholes equation. The fractional derivative is considered in Caputo sense. Further, the same equation is solved by homotopy Laplace transform perturbation method. The results obtained by the two methods are in agreement. The approximate analytical solution of Black-Scholes is calculated in the form of a convergence power series with easily computable components. Some illustrative examples are presented to explain the efficiency and simplicity of the proposed method.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Science
Institute for Mathematical Research
DOI Number: https://doi.org/10.1155/2013/524852
Publisher: Hindawi Publishing Corporation
Keywords: homotopy perturbation method; Approximate analytical solutions; Black Scholes equations.
Depositing User: Umikalthom Abdullah
Date Deposited: 01 Jul 2014 16:33
Last Modified: 09 Sep 2015 09:59
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1155/2013/524852
URI: http://psasir.upm.edu.my/id/eprint/30123
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