scholarly journals Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform

2013 ◽  
Vol 2013 ◽  
pp. 1-7 ◽  
Author(s):  
Asma Ali Elbeleze ◽  
Adem Kılıçman ◽  
Bachok M. Taib
Keyword(s):  
Analytical Solution ◽  
Power Series ◽  
Perturbation Method ◽  
Homotopy Perturbation Method ◽  
Approximate Analytical Solution ◽  
European Option ◽  
European Option Pricing ◽  
Homotopy Perturbation ◽  
Black Scholes ◽  
Sumudu Transform

The 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.

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

Mathematics ◽  
2021 ◽  
Vol 9 (3) ◽  
pp. 214
Author(s):  
Sivaporn Ampun ◽  
Panumart Sawangtong
Keyword(s):  
Fractional Derivative ◽  
Perturbation Method ◽  
Homotopy Perturbation Method ◽  
Analytic Solution ◽  
Analytic Solutions ◽  
Approximate Analytic Solution ◽  
European Option ◽  
European Option Pricing ◽  
Homotopy Perturbation ◽  
Black Scholes

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.

scholarly journals An Approximate Analytical Solution Of Nonlinear Equations In N-Aminopiperidine Synthesis: New Approach Of Homotopy Perturbation Method)

2021 ◽  
Vol 12 (1S) ◽  
pp. 595-605
Author(s):  
R. Joy Salomi, Et. al.
Keyword(s):  
Analytical Solution ◽  
Perturbation Method ◽  
Nonlinear Equations ◽  
Homotopy Perturbation Method ◽  
Approximate Analytical Solution ◽  
Rate Equations ◽  
Simple Analytical Expression ◽  
New Approach ◽  
Homotopy Perturbation ◽  
Numerical Result

the synthesis of N-aminopiperidine (NAPP) using hydroxylamine-O-sulfonic acid (HOSA) is based on system of nonlinear rate equations. The new approach to homotopy perturbation method is applied to solve the nonlinear equations. A simple analytical expression for concentrations of hydroxylamine-O-sulfonique acid (HOSA), piperidine (PP), N-aminopiperidine (NAPP), sodium hydroxide (NaOH) and diazene (N2H2) along with NAPP yield is obtained and is compared with numerical result. Satisfactory agreement is obtained in the comparison of approximate analytical solution and numerical simulation. The obtained analytical result of NAPP yield is compared with the experimental results. The influence of reagents ratio p and rate constants ratio r on yield has been discussed.

scholarly journals Approximate analytical solution for Phi-four equation with he’s fractal derivative

2021 ◽  
pp. 127-127
Author(s):  
Shuxian Deng ◽  
Xinxin Ge
Keyword(s):  
Analytical Solution ◽  
Laplace Transform ◽  
Perturbation Method ◽  
Homotopy Perturbation Method ◽  
Integral Transform ◽  
Approximate Analytical Solution ◽  
Homotopy Perturbation ◽  
Fractal Derivative ◽  
Fractal Differential Equations ◽  
First Time

This paper, for the first time ever, proposes a Laplace-like integral transform, which is called as He-Laplace transform, its basic properties are elucidated. The homotopy perturbation method coupled with this new transform becomes much effective in solving fractal differential equations. Phi-four equation with He?s derivative is used as an example to reveal the main merits of the present technology.

scholarly journals Approximate solution for fractional attractor one-dimensional Keller-Segel equations using homotopy perturbation sumudu transform method

2020 ◽  
Vol 9 (1) ◽  
pp. 370-381
Author(s):  
Dinkar Sharma ◽  
Gurpinder Singh Samra ◽  
Prince Singh
Keyword(s):  
Approximate Solution ◽  
Perturbation Method ◽  
Homotopy Perturbation Method ◽  
Simple Technique ◽  
Nonlinear Partial Differential Equations ◽  
Transform Method ◽  
Present Scheme ◽  
One Dimensional ◽  
Homotopy Perturbation ◽  
Sumudu Transform

AbstractIn this paper, homotopy perturbation sumudu transform method (HPSTM) is proposed to solve fractional attractor one-dimensional Keller-Segel equations. The HPSTM is a combined form of homotopy perturbation method (HPM) and sumudu transform using He’s polynomials. The result shows that the HPSTM is very efficient and simple technique for solving nonlinear partial differential equations. Test examples are considered to illustrate the present scheme.

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