The homotopy perturbation method for the Black–Scholes equation
- 8 December 2009
- journal article
- research article
- Published by Taylor & Francis Ltd in Journal of Statistical Computation and Simulation
- Vol. 80 (12), 1349-1354
- https://doi.org/10.1080/00949650903074603
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.Keywords
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