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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...

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Main Authors: Asma Ali, Elbeleze,, Bachok M, Taib,, Adem, Kilicman,
Format: Article
Language:English
Published: Hindawi Publishing Corporation 2015
Subjects:
Differential-Equations
Integral Transform
Numerical-Solution
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spelling my.usim-82212017-02-23T03:32:58Z Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform Asma Ali, Elbeleze, Bachok M, Taib, Adem, Kilicman, Differential-Equations Integral Transform Numerical-Solution 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. 2015-05-19T04:39:04Z 2015-05-19T04:39:04Z 2013 Article 1024-123X en Hindawi Publishing Corporation
institution Universiti Sains Islam Malaysia
building USIM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universit Sains Islam i Malaysia
content_source USIM Institutional Repository
url_provider http://ddms.usim.edu.my/
language English
topic Differential-Equations
Integral Transform
Numerical-Solution
spellingShingle Differential-Equations
Integral Transform
Numerical-Solution
Asma Ali, Elbeleze,
Bachok M, Taib,
Adem, Kilicman,
Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform
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 Asma Ali, Elbeleze,
Bachok M, Taib,
Adem, Kilicman,
author_facet Asma Ali, Elbeleze,
Bachok M, Taib,
Adem, Kilicman,
author_sort Asma Ali, Elbeleze,
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 2015
_version_ 1645152368010985472
score 13.214268

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