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

DOI10.1515/MEL-2013-0014MaRDI QIDQ500201zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(3)

• Efficient option pricing in crisis based on dynamic elasticity of variance model
• An algebraic method for pricing financial instruments on post-crisis market
• The homotopy perturbation method for the Black–Scholes equation

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