Solution of fractional Black–Scholes equation by using homotopy perturbation method
Publish place: 1st National Conference on Soft Computing
Publish Year: 1394
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
CSCG01_190
تاریخ نمایه سازی: 29 مهر 1396
Abstract:
In the present paper, solution of nonlinear fractional Black–Scholes equation is deduced with the help of the powerful homotopy perturbation method (HPM). To illustrate the method an example has been prepared. The method for this equation has been lead to an exact solution. The reliability, simplicity and cost-effectiveness of the method are confirmed by the results of applying the method on the different forms of these kinds of functional equations.
Authors
Behrouz Fathi Vajargah
Department of Mathematics, University of Guilan, Rasht, P.O. Box: ۱۹۱۴, Iran
Maryam Ghazizadeh
Department of Mathematics, University of Guilan, Rasht, P.O. Box: ۱۹۱۴, Iran