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Exact Solution of Fractional Black-Scholes European Option Pricing Equations

Exact Solution of Fractional Black-Scholes European Option Pricing Equations
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摘要 We introduce two algorithms in order to find the exact solution of the nonlinear Time-fractional Partial differential equation, in this research work. Those algorithms are proposed in the following structure: The Modified Homotopy Perturbation Method (MHPM), The Homotopy Perturbation and Sumudu Transform Method. The results achieved using the both methods are the same. However, we calculate the approached theoretical solution of the Black-Scholes model in the form of a convergent power series with a regularly calculated element. Finally, we propose a descriptive example to demonstrate the efficiency and the simplicity of the methods. We introduce two algorithms in order to find the exact solution of the nonlinear Time-fractional Partial differential equation, in this research work. Those algorithms are proposed in the following structure: The Modified Homotopy Perturbation Method (MHPM), The Homotopy Perturbation and Sumudu Transform Method. The results achieved using the both methods are the same. However, we calculate the approached theoretical solution of the Black-Scholes model in the form of a convergent power series with a regularly calculated element. Finally, we propose a descriptive example to demonstrate the efficiency and the simplicity of the methods.
机构地区 Mathematics Department
出处 《Applied Mathematics》 2018年第1期86-100,共15页 应用数学(英文)
关键词 HOMOTOPY PERTURBATION METHOD Modified HOMOTOPY PERTURBATION METHOD Sumudu Transform BLACK-SCHOLES EQUATIONS Homotopy Perturbation Method Modified Homotopy Perturbation Method Sumudu Transform Black-Scholes Equations
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