PDTM approach to solve Black Scholes equation for powered ML-payoff function

DOI10.22034/CMDE.2021.37944.1675zbMATH Open1499.91137OpenAlexW3160920247MaRDI QIDQ5076649FDOQ5076649

Authors: Sanjay J. Ghevariya 

Publication date: 17 May 2022

Full work available at URL: https://cmde.tabrizu.ac.ir/article_12687_a24e2a34198eb67d4fa22b75f824d21b.pdf

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zbMATH Keywords

projected differential transform methodBlack-Scholes formulasML-payoff functionsplain vanilla options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Option pricing with Mellin transforms
• The Mathematics of Financial Derivatives
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Solving linear and nonlinear initial value problems by the projected differential transform method
• Title not available (Why is that?)
• Numerical approximation of a time-fractional Black-Scholes equation
• Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
• A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
• A sixth order numerical method and its convergence for generalized Black-Scholes PDE
• A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
• A fourth order numerical method based on B-spline functions for pricing Asian options
• BSM model for ML-payoff function through PDTM

Cited In (1)

• BSM model for ML-payoff function through PDTM

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