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Using Homo-Separation of Variables for Pricing European Option of the Fractional Black-Scholes Model in Financial Markets |
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PP: 181-187 |
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doi:10.18576/msl/050211
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Author(s) |
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Mohammad Ali Mohebbi Ghandehari,
Mojtaba Ranjbar,
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Abstract |
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| In this study, we present the exact solution of the option pricing problems based on the fractional Black-Scholes equation by using a modified homotopy perturbation method (MHPM).
The new method is a combination of two well-established mathematical methods, namely, the homotopy perturbation method (HPM) and the separation of variables method. The proposed method is introduced an efficient tool for solving Black-Scholes equation of frictional order. The results show that this scheme is accurate and efficient. |
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