A homotopy analysis method for the option pricing PDE in post-crash markets

DOI10.1515/MEL-2013-0014zbMath1321.91112OpenAlexW2287340413MaRDI QIDQ500201

Youssef El-Khatib

Publication date: 1 October 2015

Published in: Mathematical Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mel-2013-0014

zbMATH Keywords

optionsfinancial crisishomotopy analysis methodBlack-Scholes PDE

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Theoretical approximation in context of PDEs (35A35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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