Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform

DOI10.1155/2013/524852zbMATH Open1299.91179OpenAlexW2028983831WikidataQ59026121 ScholiaQ59026121MaRDI QIDQ473753FDOQ473753

Asma Ali Elbeleze, Adem Kilicman, Bachok M. Taib

Publication date: 24 November 2014

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/524852

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Series solutions to PDEs (35C10) Fractional partial differential equations (35R11) Financial applications of other theories (91G80)

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Cited In (41)

• New approximate solutions to electrostatic differential equations obtained by using numerical and analytical methods
• Numerical solution of the time fractional Black-Scholes model governing European options
• Faber-Schauder wavelet sparse grid approach for option pricing with transactions cost
• The homotopy perturbation method for the Black–Scholes equation
• Application of two-dimensional Fibonacci wavelets in fractional partial differential equations arising in the financial market
• Solving Black-Scholes equations using fractional generalized homotopy analysis method
• A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
• A hybrid method to solve time-space fractional PDEs with proportional delay
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• Fractional calculus for nanoscale flow and heat transfer
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• A reliable hybrid numerical method for a time dependent vibration model of arbitrary order
• Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
• A compact finite difference scheme for fractional Black-Scholes option pricing model
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• Construction of interval Shannon wavelet and its application in solving nonlinear Black-Scholes equation

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