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Math. Comput. Appl. 2017, 22(1), 23; doi:10.3390/mca22010023

Laplace Transform Homotopy Perturbation Method for the Two Dimensional Black Scholes Model with European Call Option

1
Department of Mathematics, Faculty of Science, Mahidol University, 10400 Bangkok, Thailand
2
Centre of Excellence in Mathematics, PERDO, Commissionon Higher Education, Ministry ofEducation, 10400 Bangkok, Thailand
3
Department of Mathematics, Faculty of Applied Science, King Mongkut’s University of Technology North Bangkok, 10800 Bangkok, Thailand
*
Author to whom correspondence should be addressed.
Academic Editor: Fazal M. Mahomed
Received: 24 December 2016 / Revised: 7 February 2017 / Accepted: 20 February 2017 / Published: 27 February 2017
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Abstract

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. View Full-Text
Keywords: Black Scholes model; European call option; Laplace transform homotopy perturbation method; Mellin–Ross function Black Scholes model; European call option; Laplace transform homotopy perturbation method; Mellin–Ross function
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MDPI and ACS Style

Trachoo, K.; Sawangtong, W.; Sawangtong, P. Laplace Transform Homotopy Perturbation Method for the Two Dimensional Black Scholes Model with European Call Option. Math. Comput. Appl. 2017, 22, 23.

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