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Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform

The homotopy perturbation method, Sumudu transform, and He’s polynomials are combined to obtain the solution of fractional Black-Scholes equation. The fractional derivative is considered in Caputo sense. Further, the same equation is solved by homotopy Laplace transform perturbation method. The resu...

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Main Authors: Elbeleze, Asma Ali, Kilicman, Adem, M. Taib, Bachok
Format: Article
Language:English
English
Published: Hindawi Publishing Corporation 2013
Online Access:http://psasir.upm.edu.my/id/eprint/30123/1/Homotopy%20perturbation%20method%20for%20fractional%20black.pdf
http://psasir.upm.edu.my/id/eprint/30123/
http://www.hindawi.com/journals/mpe/2013/524852/
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spelling my.upm.eprints.301232015-09-09T01:59:35Z http://psasir.upm.edu.my/id/eprint/30123/ Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform Elbeleze, Asma Ali Kilicman, Adem M. Taib, Bachok The homotopy perturbation method, Sumudu transform, and He’s polynomials are combined to obtain the solution of fractional Black-Scholes equation. The fractional derivative is considered in Caputo sense. Further, the same equation is solved by homotopy Laplace transform perturbation method. The results obtained by the two methods are in agreement. The approximate analytical solution of Black-Scholes is calculated in the form of a convergence power series with easily computable components. Some illustrative examples are presented to explain the efficiency and simplicity of the proposed method. Hindawi Publishing Corporation 2013 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/30123/1/Homotopy%20perturbation%20method%20for%20fractional%20black.pdf Elbeleze, Asma Ali and Kilicman, Adem and M. Taib, Bachok (2013) Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform. Mathematical Problems in Engineering, 2013. art. no. 524852. pp. 1-7. ISSN 1024-123X http://www.hindawi.com/journals/mpe/2013/524852/ 10.1155/2013/524852 English
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
English
description The homotopy perturbation method, Sumudu transform, and He’s polynomials are combined to obtain the solution of fractional Black-Scholes equation. The fractional derivative is considered in Caputo sense. Further, the same equation is solved by homotopy Laplace transform perturbation method. The results obtained by the two methods are in agreement. The approximate analytical solution of Black-Scholes is calculated in the form of a convergence power series with easily computable components. Some illustrative examples are presented to explain the efficiency and simplicity of the proposed method.
format Article
author Elbeleze, Asma Ali
Kilicman, Adem
M. Taib, Bachok
spellingShingle Elbeleze, Asma Ali
Kilicman, Adem
M. Taib, Bachok
Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform
author_facet Elbeleze, Asma Ali
Kilicman, Adem
M. Taib, Bachok
author_sort Elbeleze, Asma Ali
title Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform
title_short Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform
title_full Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform
title_fullStr Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform
title_full_unstemmed Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform
title_sort homotopy perturbation method for fractional black-scholes european option pricing equations using sumudu transform
publisher Hindawi Publishing Corporation
publishDate 2013
url http://psasir.upm.edu.my/id/eprint/30123/1/Homotopy%20perturbation%20method%20for%20fractional%20black.pdf
http://psasir.upm.edu.my/id/eprint/30123/
http://www.hindawi.com/journals/mpe/2013/524852/
_version_ 1643829964487786496
score 13.159267

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