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Closed-Form Solution of Generalized Fractional Black-Scholes-Like Equation using Fractional Reduced Differential Transform Method and Fractional Laplace Homotopy Perturbation Method

Sunday E. Fadugba

Abstract


In this paper, Fractional Reduced Differential Transform Method (FRDTM) and Fractional Laplace Transform Homotopy Perturbation Method (FLTHPM) are employed to obtain a closed-form solution to the Generalized Fractional Black-Scholes-Like Equation (GFB-SE). Both FRDTM and FLTHPM give an analytic solution in the form of a convergent series with easily computable components. Two illustrative examples are considered and the results show that FRDTM is very effective and overcomes the difficulty of FLTHPM since less computational work is involved. Hence FRDTM is a good alternative approach for the solution of GFB-SE.

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