Alternative Approach for the Solution of the Black-Scholes Partial Differential Equation for European Call Option - Open Access Library Journal

OALibJ > Vol.2 No.4, April 2015

Open Access Library Journal

Volume 2, Issue 4 (April 2015)

ISSN Print: 2333-9705 ISSN Online: 2333-9721

Google-based Impact Factor: 0.73 Citations

Alternative Approach for the Solution of the Black-Scholes Partial Differential Equation for European Call Option ()

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DOI: 10.4236/oalib.1101466 2,937 Downloads 5,208 Views Citations

Author(s)

Sunday Emmanuel Fadugba, Adedoyin Olayinka Ajayi

Affiliation(s)

Department of Mathematical Sciences, Ekiti State University, Ado Ekiti, Nigeria.

ABSTRACT

In this paper we present an alternative approach for the solution of the Black-Scholes partial differential equation for European call option which pays dividend yield using the modified Mellin transform method. The approach used in this paper does not require variables transformation. We also extend the modified Mellin transform method for the valuation of European call option which pays dividend yield. The numerical results show that the modified Mellin transform is accurate, mutually consistent and agrees with the values of the Black-Scholes model.

KEYWORDS

Black-Scholes Partial Differential Equation, Dividend Yield, European Call Option, Modified Mellin Transform Method

Share and Cite:

Fadugba, S. and Ajayi, A. (2015) Alternative Approach for the Solution of the Black-Scholes Partial Differential Equation for European Call Option. Open Access Library Journal, 2, 1-8. doi: 10.4236/oalib.1101466.

Cited by

[1]	A new approach for the solution of the Black-Scholes equation with barrier option constraints
	2021

[2]	Solution of a barrier option Black-Scholes model based on projected differential transformation method
	2021

[3]	A New Technique for Solving Black-Scholes Equation for Vanilla Put Options
	British Journal of Mathematics & Computer Science, 2015

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