The homotopy perturbation method for the Black-Scholes equation

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Gulkac V.

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

• Publication Type: Article / Article
• Volume: 80 Issue: 12
• Publication Date: 2010
• Doi Number: 10.1080/00949650903074603
• Journal Name: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
• Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
• Page Numbers: pp.1349-1354
• Kocaeli University Affiliated: Yes

Abstract

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.