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

DOI10.1515/MEL-2013-0014zbMATH Open1321.91112OpenAlexW2287340413MaRDI QIDQ500201FDOQ500201

Authors: 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

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zbMATH Keywords

optionshomotopy analysis methodfinancial crisisBlack-Scholes PDE

Mathematics Subject Classification ID

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

Cited In (1)

• The homotopy perturbation method for the Black–Scholes equation

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