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Homotopy perturbation method for fractional black-scholes european option pricing equations using sumudu transform

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cris.lastimport.wos2024-12-06T16:55:31Z
cris.virtual.departmentUniversiti Sains Islam Malaysia
cris.virtual.orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtualsource.departmentc4185528-e7dd-4690-b7ad-2af5926dd32a
cris.virtualsource.orcidc4185528-e7dd-4690-b7ad-2af5926dd32a
dc.contributor.authorElbeleze A.A.en_US
dc.contributor.authorKiliçman A.en_US
dc.contributor.authorBachok M. Taib
dc.date.accessioned2024-05-28T08:39:34Z
dc.date.available2024-05-28T08:39:34Z
dc.date.issued2013
dc.description.abstractThe homotopy perturbation method, Sumudu transform, and He's polynomials are combined to obtain the solution of fractional Black-Scholes equation. The fractional derivative is considered in Caputo sense. Further, the same equation is solved by homotopy Laplace transform perturbation method. The results obtained by the two methods are in agreement. The approximate analytical solution of Black-Scholes is calculated in the form of a convergence power series with easily computable components. Some illustrative examples are presented to explain the efficiency and simplicity of the proposed method. © 2013 Asma Ali Elbeleze et al.en_US
dc.identifier.ArtNo524852
dc.identifier.doi10.1155/2013/524852
dc.identifier.issn1024123X
dc.identifier.scopus2-s2.0-84878636659
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84878636659&doi=10.1155%2f2013%2f524852&partnerID=40&md5=007687991f439c6b2ea988e22a568315
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/9244
dc.identifier.volume2013
dc.language.isoen_USen_US
dc.publisherMathematical Problems in Engineeringen_US
dc.relation.ispartofOpen Accessen_US
dc.titleHomotopy perturbation method for fractional black-scholes european option pricing equations using sumudu transformen_US
dc.typeArticleen_US
dspace.entity.typePublication
oairecerif.author.affiliation#PLACEHOLDER_PARENT_METADATA_VALUE#
oairecerif.author.affiliation#PLACEHOLDER_PARENT_METADATA_VALUE#
oairecerif.author.affiliationUniversiti Sains Islam Malaysia

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