Article ID Journal Published Year Pages File Type
1708555 Applied Mathematics Letters 2011 5 Pages PDF
Abstract

In this paper, the homotopy analysis method, whose original concept comes from algebraic topology, is applied to connect the Black–Scholes option price (the good initial guess) to the option price under general stochastic volatility environment in a recursive manner. We obtain the homotopy solutions for the European vanilla and barrier options as well as the relevant convergence conditions.

Related Topics
Physical Sciences and Engineering Engineering Computational Mechanics
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