The homotopy perturbation method for the Black-Scholes equation


Gulkac V.

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, cilt.80, ss.1349-1354, 2010 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 80 Konu: 12
  • Basım Tarihi: 2010
  • Doi Numarası: 10.1080/00949650903074603
  • Dergi Adı: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
  • Sayfa Sayıları: ss.1349-1354

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.