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

Author

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  • Din Prathumwan

    (Department of Mathematics, Faculty of Science, Khon Kaen University, Khon Kaen 40002, Thailand)

  • Kamonchat Trachoo

    (Department of Mathematics, Faculty of Science, Mahasarakham University, Mahasarakham 44150, Thailand)

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.

Suggested Citation

  • Din Prathumwan & Kamonchat Trachoo, 2019. "Application of the Laplace Homotopy Perturbation Method to the Black–Scholes Model Based on a European Put Option with Two Assets," Mathematics, MDPI, vol. 7(4), pages 1-11, March.
    • Handle: RePEc:gam:jmathe:v:7:y:2019:i:4:p:310-:d:217689
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    References listed on IDEAS

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