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Open AccessArticle

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
Math. Comput. Appl. 2017, 22(1), 23; https://doi.org/10.3390/mca22010023
Received: 24 December 2016 / Revised: 7 February 2017 / Accepted: 20 February 2017 / Published: 27 February 2017
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.

AMA Style

Trachoo K, Sawangtong W, Sawangtong P. Laplace Transform Homotopy Perturbation Method for the Two Dimensional Black Scholes Model with European Call Option. Mathematical and Computational Applications. 2017; 22(1):23.

Chicago/Turabian Style

Trachoo, Kamonchat; Sawangtong, Wannika; Sawangtong, Panumart. 2017. "Laplace Transform Homotopy Perturbation Method for the Two Dimensional Black Scholes Model with European Call Option" Math. Comput. Appl. 22, no. 1: 23.

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