Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform
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 resu...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English English |
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Hindawi Publishing Corporation
2013
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| Online Access: | http://psasir.upm.edu.my/id/eprint/30123/1/Homotopy%20perturbation%20method%20for%20fractional%20black.pdf |
| _version_ | 1796971677848961024 |
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| author | Elbeleze, Asma Ali Kilicman, Adem M. Taib, Bachok |
| author_facet | Elbeleze, Asma Ali Kilicman, Adem M. Taib, Bachok |
| author_sort | Elbeleze, Asma Ali |
| collection | UPM |
| description | 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. |
| first_indexed | 2024-03-06T08:16:33Z |
| format | Article |
| id | upm.eprints-30123 |
| institution | Universiti Putra Malaysia |
| language | English English |
| last_indexed | 2024-03-06T08:16:33Z |
| publishDate | 2013 |
| publisher | Hindawi Publishing Corporation |
| record_format | dspace |
| spelling | upm.eprints-301232015-09-09T01:59:35Z http://psasir.upm.edu.my/id/eprint/30123/ Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform Elbeleze, Asma Ali Kilicman, Adem M. Taib, Bachok 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. Hindawi Publishing Corporation 2013 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/30123/1/Homotopy%20perturbation%20method%20for%20fractional%20black.pdf 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 http://www.hindawi.com/journals/mpe/2013/524852/ 10.1155/2013/524852 English |
| spellingShingle | Elbeleze, Asma Ali Kilicman, Adem M. Taib, Bachok Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform |
| title | Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform |
| title_full | Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform |
| title_fullStr | Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform |
| title_full_unstemmed | Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform |
| title_short | Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform |
| title_sort | homotopy perturbation method for fractional black scholes european option pricing equations using sumudu transform |
| url | http://psasir.upm.edu.my/id/eprint/30123/1/Homotopy%20perturbation%20method%20for%20fractional%20black.pdf |
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