Green’s function homotopy perturbation method for the initial-boundary value problems

Sawangtong, Wannika; Sawangtong, Panumart

doi:10.1186/s13662-019-2350-7

Cited by 1 publication

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References 6 publications

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“…Currently, considerable attention has been given to approximate analytic and/or numerical solutions of fractional Black-Scholes equation resulting from its remarkable scope and applications in several disciplines. Some of the analytical methods are the variational iteration method [21], Adomian decomposition method [22], homotopy perturbation method [23], homotopy analysis method [17], Laplace transform homotopy perturbation method [15,16,24], and Green's function homotopy perturbation method [25].…”

Section: Introductionmentioning

confidence: 99%

The Approximate Analytic Solution of the Time-Fractional Black-Scholes Equation with a European Option Based on the Katugampola Fractional Derivative

Ampun

Sawangtong

2021

Mathematics

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In the finance market, it is well known that the price change of the underlying fractal transmission system can be modeled with the Black-Scholes equation. This article deals with finding the approximate analytic solutions for the time-fractional Black-Scholes equation with the fractional integral boundary condition for a European option pricing problem in the Katugampola fractional derivative sense. It is well known that the Katugampola fractional derivative generalizes both the Riemann–Liouville fractional derivative and the Hadamard fractional derivative. The technique used to find the approximate analytic solutions of the time-fractional Black-Scholes equation is the generalized Laplace homotopy perturbation method, the combination of the generalized Laplace transform and homotopy perturbation method. The approximate analytic solution for the problem is in the form of the generalized Mittag-Leffler function. This shows that the generalized Laplace homotopy perturbation method is one of the most effective methods to construct approximate analytic solutions of the fractional differential equations. Finally, the approximate analytic solutions of the Riemann–Liouville and Hadamard fractional Black-Scholes equation with the European option are also shown.

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