
doi: 10.3390/math7040310
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.
European put option, Black–Scholes equation, pricing model, QA1-939, homotopy perturbation method, Mathematics
European put option, Black–Scholes equation, pricing model, QA1-939, homotopy perturbation method, Mathematics
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