Modified Differential Transform Method for Solving Black-Scholes Pricing Model of European Option Valuation Paying Continuous Dividends
Year: 2023
Author: Manzoor Ahmad, Raishree Mishra, Renu Jain
Journal of Partial Differential Equations, Vol. 36 (2023), Iss. 4 : pp. 381–393
Abstract
Option pricing is a major problem in quantitative finance. The Black-Scholes model proves to be an effective model for the pricing of options. In this paper a computational method known as the modified differential transform method has been employed to obtain the series solution of Black-Scholes equation with boundary conditions for European call and put options paying continuous dividends. The proposed method does not need discretization to find out the solution and thus the computational work is reduced considerably. The results are plotted graphically to establish the accuracy and efficacy of the proposed method.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jpde.v36.n4.4
Journal of Partial Differential Equations, Vol. 36 (2023), Iss. 4 : pp. 381–393
Published online: 2023-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 13
Keywords: European option pricing Black-Scholes equation call option put option modified differential transform method.