A Homotopy Analysis Method for the Option Pricing PDE in Post-Crash Markets

2014 ◽  
Vol 2 (3-4) ◽  
pp. 45-50
Author(s):  
Youssef El-Khatib
Keyword(s):  
Differential Equation ◽  
Financial Crisis ◽  
Option Pricing ◽  
Homotopy Analysis Method ◽  
Closed Form Solution ◽  
Form Solution ◽  
Analysis Method ◽  
European Option ◽  
Homotopy Analysis ◽  
Crash Model

AbstractWe investigate a solution for the option pricing partial differential equation (PDE) in a market suffering from a financial crisis. The post-crash model assumes that the volatility is stochastic. It is an extension of the famous Black and Scholes model. Therefore, the option pricing PDE for the crisis model is a generalization of the Black and Scholes PDE. However, to the best knowledge, it does not have a closed form solution for the general case. In this paper, we provide a solution for the pricing PDE of a European option during financial crisis using the homotopy analysis method.

Nonlinear Vertical Vibration of Tension Leg Platforms with Homotopy Analysis Method

2015 ◽  
Vol 7 (3) ◽  
pp. 357-368 ◽  
Author(s):  
Arash Reza ◽  
Hamid M. Sedighi
Keyword(s):  
Differential Equation ◽  
Homotopy Analysis Method ◽  
Equations Of Motion ◽  
Closed Form Solution ◽  
Added Mass ◽  
Form Solution ◽  
Analysis Method ◽  
Homotopy Analysis ◽  
Mass Coefficient ◽  
Added Mass Coefficient

AbstractOne of the useful methods for offshore oil exploration in the deep regions is the use of tension leg platforms (TLP). The effective mass fluctuating of the structure which due to its vibration can be noted as one of the important issues about these platforms. With this description, dynamic analysis of these structures will play a significant role in their design. Differential equations of motion of such systems are nonlinear and providing a useful method for its analysis is very important. Also, the amount of added mass coefficient has a direct effect on the level of nonlinearity of partial differential equation of these systems. In this study, Homotopy analysis method has been used for closed form solution of the governing differential equation. Linear springs have been used for modeling the stiffness of this system and the effects of torsion, bending and damping of water have been ignored. In the study of obtained results, the effect of added mass coefficient has been investigated. The results show that increasing of this coefficient decreases the bottom amplitude of fluctuations and the system frequency. The obtained results from this method are in good agreement with the published results on the valid articles.

scholarly journals On the Solutions of Fractional Cauchy Problem Featuring Conformable Derivative

2018 ◽  
Vol 22 ◽  
pp. 01045 ◽  
Author(s):  
Mehmet Yavuz ◽  
Necati Özdemir
Keyword(s):  
Differential Equation ◽  
Cauchy Problem ◽  
Exact Solutions ◽  
Detailed Analysis ◽  
Analytical Solutions ◽  
Homotopy Analysis Method ◽  
Analysis Method ◽  
Conformable Derivative ◽  
Homotopy Analysis ◽  
Fractional Cauchy Problem

In this study, we have obtained analytical solutions of fractional Cauchy problem by using q-Homotopy Analysis Method (q-HAM) featuring conformable derivative. We have considered different situations according to the homogeneity and linearity of the fractional Cauchy differential equation. A detailed analysis of the results obtained in the study has been reported. According to the results, we have found out that our obtained solutions approach very speedily to the exact solutions.

An Analytical Approximation for Option Price under the Affine GARCH Model - A Comparison with the Closed-Form Solution of Heston-Nandi

GIS Business ◽  
2017 ◽  
Vol 12 (4) ◽  
pp. 32-46
Author(s):  
Noureddine Lahouel ◽  
Slaheddine Hellara
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Empirical Work ◽  
Closed Form Solution ◽  
Garch Model ◽  
Analytical Approximation ◽  
Form Solution ◽  
Option Prices ◽  
European Option ◽  
Comparative Performance

In the option pricing theory, two important approaches have been developed to evaluate the prices of a European option. The first approach develops an almost closed-form option pricing formula under a specific GARCH process (Heston & Nandi, 2000). The second approach develops an analytical approximation for computing European option prices with more widespread NGARCH models (Duan, Gauthier & Simonato, 1999). The analytical approximation was also developed under GJR-GARCH and EGARCH models by Duan, Gauthier, Sasseville & Simonato (2006). However, no empirical work was performed to study the comparative performance of these two formulas (closed-form solution and analytical approximation). Also, it is possible to develop an analytical approximation under the specific GARCH model of Heston & Nandi (2000). In this paper, we have filled up those gaps. We started with the development of an analytical approximation, for computing European option prices, under Heston-Nandis GARCH model. In the second step, we carried out a comparative analysis of the three formulas using CAC 40 index returns from 31 December 1987 to 31 December 2013.

Optimum Path of a Flying Object with Exponentially Decaying Density Medium

2009 ◽  
Vol 64 (7-8) ◽  
pp. 431-438 ◽  
Author(s):  
Said Abbasbandy ◽  
Mehmet Pakdemirli ◽  
Elyas Shivanian
Keyword(s):  
Differential Equation ◽  
Exact Solution ◽  
Homotopy Analysis Method ◽  
Analysis Method ◽  
Dimensionless Form ◽  
Optimum Path ◽  
Homotopy Analysis

AbstractIn this paper, a differential equation describing the optimum path of a flying object is derived. The density of the fluid is assumed to be exponentially decaying with altitude. The equation is cast in to a dimensionless form and the exact solution is given. This equation is then analyzed by homotopy analysis method (HAM). The results showed in the figures reveal that this method is very effective and convenient.

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