Abstract
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.
Highlights
In the financial market, contracts between buyers and sellers are called options
We study the two-dimensional Black Scholes equation with basket option based on European call option
We consider the two-dimensional Black Scholes equation based on European call option
Summary
Contracts between buyers and sellers are called options. Generally, options are divided into two types: call option (the right to buy) and put option (the right to sell). To study the financial derivative in the market, the Black Scholes model proposed by Black and Scholes [1] in 1973 is used The concept of their model is hedging and eliminating the risk of option pricing for purchasing and selling of underlying assets. There are various methods to find the solution of multidimensional Black Scholes model; for example, a radical basic function (RBF). We study the two-dimensional Black Scholes equation with basket option based on European call option.
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