Application of the Laplace Homotopy Perturbation Method to the Black-Scholes Model Based on a European Put Option with Two Assets

In this paper, the Laplace homotopy perturbation method (LHPM) is applied to obtain the approximate solution of Black-Scholes partial differential equations for a European put option with two assets. Different from all other approximation methods, LHPM provides a simple way to get the explicit solution which is represented in the form of a Mellin-Ross function. The numerical examples represent that the solution from the proposed method is easy and effective.