Removing non-smoothness in solving Black-Scholes equation using a perturbation method
نویسندگان
چکیده
Black-Scholes equation as one of the most celebrated mathematical models has an explicit analytical solution known formula. Later variations equation, such fractional or nonlinear equations, do not have a closed form expression for corresponding In that case, will need asymptotic expansions, homotopy perturbation method, to give approximate solution. However, is non-smooth at special point. We modify method by first performing variable transformations push point infinity. As test bed, we apply solvable where excellent agreement with exact obtained. also extend our study multi-asset basket and quanto options reducing cases single-asset ones. Additionally provide novel option simple different from existing expression.
منابع مشابه
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ژورنال
عنوان ژورنال: Physics Letters
سال: 2021
ISSN: ['1873-2429', '0375-9601']
DOI: https://doi.org/10.1016/j.physleta.2021.127367