Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform
Joint Authors
Taib, Bachok M.
Elbeleze, Asma Ali
Kiliçman, Adem
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-08
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Elbeleze, Asma Ali& Kiliçman, Adem& Taib, Bachok M.. 2013. Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-1009704
Modern Language Association (MLA)
Elbeleze, Asma Ali…[et al.]. Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform. Mathematical Problems in Engineering No. 2013 (2013), pp.1-7.
https://search.emarefa.net/detail/BIM-1009704
American Medical Association (AMA)
Elbeleze, Asma Ali& Kiliçman, Adem& Taib, Bachok M.. Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-1009704
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1009704