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Solving Black–Scholes equations using fractional generalized homotopy analysis method

This paper aims to solve the Black–Scholes (B–S) model for the European options pricing problem using a hybrid method called fractional generalized homotopy analysis method (FGHAM). The convergence region of the B–S model solutions are clearly identified using h-curve and the closed form series solu...

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Detalles Bibliográficos
Autores principales: Saratha, S. R., Sai Sundara Krishnan, G., Bagyalakshmi, M., Lim, Chee Peng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2020
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7471595/
http://dx.doi.org/10.1007/s40314-020-01306-4