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Mathematics 2019, 7(4), 310; https://doi.org/10.3390/math7040310

Application of the Laplace Homotopy Perturbation Method to the Black–Scholes Model Based on a European Put Option with Two Assets

1
Department of Mathematics, Faculty of Science, Khon Kaen University, Khon Kaen 40002, Thailand
2
Department of Mathematics, Faculty of Science, Mahasarakham University, Mahasarakham 44150, Thailand
*
Author to whom correspondence should be addressed.
Received: 14 February 2019 / Revised: 13 March 2019 / Accepted: 22 March 2019 / Published: 27 March 2019
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Abstract

In this paper, the Laplace homotopy perturbation method (LHPM) is applied to obtain the approximate solution of Black–Scholes partial differential equations for a European put option with two assets. Different from all other approximation methods, LHPM provides a simple way to get the explicit solution which is represented in the form of a Mellin–Ross function. The numerical examples represent that the solution from the proposed method is easy and effective. View Full-Text
Keywords: Black–Scholes equation; European put option; homotopy perturbation method; pricing model Black–Scholes equation; European put option; homotopy perturbation method; pricing model
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Prathumwan, D.; Trachoo, K. Application of the Laplace Homotopy Perturbation Method to the Black–Scholes Model Based on a European Put Option with Two Assets. Mathematics 2019, 7, 310.

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