Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform
By Asma Ali Elbeleze, Adem Kılıçman, Bachok M. Taib. 2013
89 citations recorded by the source corpus.
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.
Subfields: Applied Mathematics, Modeling and Simulation, Numerical Analysis
View Paper: https://www.semanticscholar.org/paper/8d86ff61ab11788b79fcc5e1159a1a460a246441
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In Applied Mathematics
In Modeling and Simulation
In Numerical Analysis
Citations in the corpus
- Novel solution methods for initial boundary value problems of fractional order with conformable differentiation (2017, background): “On the other hand, several researchers [5-17] have applied the homotopy perturbation/analysis methods (HPM/HAM) and Adomian decomposition method (ADM) to solve different kinds of fractional ordinary differential equations (ODEs), fractional partial differential equations (ODEs), integral equations (”