Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform

Numerical Solutions for Fractional Black-Scholes Option Pricing Equation

In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.

Homotopy Perturbation Sumudu Transform Method for Nonlinear Equations

In this paper, we propose a combined form of the sumudu transform method with the homotopy perturbation method to solve nonlinear equations. This method is called the homotopy perturbation sumudu transform method (HPSTM). The nonlinear terms can be easily handled by the use of He’s polynomials. The proposed scheme finds the solution without any discretization or restrictive assumptions and avoi...

Analytical Solution of Fractional Black-scholes European Option Pricing Equation by Using Laplace Transform

In this paper, Laplace homotopy perturbation method, which is combined form of the Laplace transform and the homotopy perturbation method, is employed to obtain a quick and accurate solution to the fractional Black Scholes equation with boundary condition for a European option pricing problem. The Black-Scholes formula is used as a model for valuing European or American call and put options on ...

European option pricing of fractional Black-Scholes model with new Lagrange multipliers

In this paper, a new identification of the Lagrange multipliers by means of the Sumudu transform, is employed to  btain a quick and accurate solution to the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. The fractional derivatives is described in Caputo sen...

Homotopy Analysis Sumudu Transform Method for Nonlinear Equations