The homotopy perturbation method for the Black-Scholes equation

Gulkac V.

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, vol.80, no.12, pp.1349-1354, 2010 (SCI-Expanded) identifier identifier


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.