Solution of fractional Black–Scholes equation by using homotopy perturbation method

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.

Keywords:

Homotopy perturbation method , fractional Black–Scholes equation