Modified Differential Transform Method for Solving Black-Scholes Pricing Model of European Option Valuation Paying Continuous Dividends

DOI10.4208/JPDE.V36.N4.4MaRDI QIDQ6141806zbMATH OpenOpenAlexFDO

Authors Mansoor Ahmad, Renu Jain

Publication date 23 January 2024

Published in Journal of Partial Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/jpde.v36.n4.4

zbMATH Keywords

Black-Scholes equationcall optionEuropean option pricingmodified differential transform methodput option

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• A reliable treatment of homotopy perturbation method for Klein-Gordon equations
• Approximate analytical solution for seepage flow with fractional derivatives in porous media
• Differential transformation technique for steady nonlinear heat conduction problems
• Homotopy perturbation method: a new nonlinear analytical technique
• Homotopy perturbation technique
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• New iterative method: Application to partial differential equations
• Solution of nonlinear equations by an ancient Chinese algorithm.
• Solutions of the system of differential equations by differential transform method
• Solving fractional boundary value problems with Dirichlet boundary conditions using a new iterative method
• Solving frontier problems of physics: the decomposition method
• Solving linear and nonlinear initial value problems by the projected differential transform method
• The pricing of options and corporate liabilities

Cited in

(1)

• A modification of Galerkin's method for option pricing

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