The homotopy perturbation method for the Black-Scholes equation
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, cilt.80, sa.12, ss.1349-1354, 2010 (SCI-Expanded, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 80 Sayı: 12
- Basım Tarihi: 2010
- Doi Numarası: 10.1080/00949650903074603
- Dergi Adı: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Sayfa Sayıları: ss.1349-1354
- Kocaeli Üniversitesi Adresli: Evet
Özet
The homotopy perturbation method is designed to obtain a quick and accurate solution to the Black-Scholes equation and boundary conditions for a European option pricing problem. The problem of pricing a European option can be cast a partial differential equation. The analytical solution of the equation is calculated in the form of a convergent power series with easily computable components.