Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform

• 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

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...