The homotopy perturbation method for the Black–Scholes equation

DOI10.1080/00949650903074603zbMath1233.91274MaRDI QIDQ3070613

Vildan Gülkaç

Publication date: 3 February 2011

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650903074603

zbMATH Keywords

Black-Scholes equation; free-boundary problem; European option pricing; homotopy perturbation method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

High-order exponential spline method for pricing European options, New Numerical Techniques for Solving Fractional Partial Differential Equations in Conformable Sense, A method of finding source function for inverse diffusion problem with time-fractional derivative, Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform, Fractional variational iteration method and its application to fractional partial differential equation, Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation

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