ON APPROXIMATE-ANALYTICAL SOLUTION OF GENERALIZED BLACK-SCHOLES EQUATION

被引：0

作者：

Aminikhah, Hossein ^{[1
]}

Mehrdoust, Farshid ^{[1
]}

机构：

[1] Univ Guilan, Fac Math Sci, Dept Appl Math, POB 41938-1914, Rasht, Iran

来源：

UNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS | 2015年 / 77卷 / 04期

关键词：

Black-Scholes equation; Laplace transform method; Homotopy perturbation method; European option pricing; HOMOTOPY PERTURBATION METHOD; NUMERICAL-SOLUTION; FLOW;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In option pricing theory, the Black-Scholes equation is one of the most effective models for pricing options. In this paper, we present an analytical method for the generalized Black-Scholes partial differential equation, which is used for option pricing. The proposed method (LTNHPM) is based on Laplace transform (LT) and new homotopy perturbation method (NHPM). Two test examples have been solved for illustrating the merits of the proposed analytical approximation method. The method can be extended for solving problems arising in financial mathematics.

引用

页码：185 / 194

页数：10

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