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Laplace Transform Homotopy Perturbation Method for the Two Dimensional Black Scholes Model with European Call Option
2017
Mathematical and Computational Applications
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The Black Scholes model is a well-known and useful mathematical model in financial markets. In this paper, the two-dimensional Black Scholes equation with European call option is studied. The explicit solution of this problem is carried out in the form of a Mellin-Ross function by using Laplace transform homotopy perturbation method. The solution example demonstrates that the proposed scheme is effective.
doi:10.3390/mca22010023
fatcat:5ag55gq5jfc4df3lpqgenrblwe