Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform (Q473753): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(7 intermediate revisions by 6 users not shown) | |||
Property / author | |||
Property / author: Adem Kilicman / rank | |||
Property / author | |||
Property / author: Adem Kilicman / rank | |||
Normal rank | |||
Property / review text | |||
Summary: 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. | |||
Property / review text: Summary: 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. / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G80 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 35Q91 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G20 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 35R11 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 35C10 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6372455 / rank | |||
Normal rank | |||
Property / Wikidata QID | |||
Property / Wikidata QID: Q59026121 / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1155/2013/524852 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2028983831 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Fractional-order systems and PI/sup /spl lambda//D/sup /spl mu//-controllers / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3161239 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3408155 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3006513 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3141902 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Definition of Physically Consistent Damping Laws with Fractional Derivatives / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5691776 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The fractional calculus. Theory and applications of differentiation and integration to arbitrary order / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On analytical solutions of the Black-Scholes equation / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Numerical solution of linear and nonlinear Black-Scholes option pricing equations / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A robust and accurate finite difference method for a generalized Black-Scholes equation / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the numerical solution of nonlinear Black-Scholes equations / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The homotopy perturbation method for the Black–Scholes equation / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Homotopy perturbation technique / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A coupling method of a homotopy technique and a perturbation technique for nonlinear problems / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: SOME ASYMPTOTIC METHODS FOR STRONGLY NONLINEAR EQUATIONS / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The homotopy perturbation method for nonlinear oscillators with discontinuities. / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Application of homotopy perturbation method to nonlinear wave equations / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Homotopy perturbation method for nonlinear partial differential equations of fractional order / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Application of homotopy perturbation and variational iteration methods for Fredholm integrodifferential equation of fractional order / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the coupling of the homotopy perturbation method and Laplace transformation / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q2908047 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Homotopy perturbation method for fractional gas dynamics equation using Sumudu transform / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4220932 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Further properties of the Sumudu transform and its applications / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Analytical investigations of the Sudumu transform and applications to integral production equations / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A new integral transform and associated distributions / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3070568 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3569655 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Sumudu transform and the solution of integral equations of convolution type / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3446193 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the applications of Laplace and Sumudu transforms / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On Sumudu transform and system of differential equations / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3009639 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: An approximate solution technique not depending on small parameters: A special example / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Asymptotic methods for solitary solutions and compactons / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Beyond Adomian polynomials: He polynomials / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 08:50, 9 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform |
scientific article |
Statements
Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform (English)
0 references
24 November 2014
0 references
Summary: 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.
0 references
0 references
0 references
0 references
0 references
0 references
0 references