Analytical Solutions of Black-Scholes Partial Differential Equation of Pricing for Valuations of Financial Options using Hybrid Transformation Methods

Analytical Solutions of Black-Scholes Partial Differential Equation of Pricing for Valuations of Financial Options using Hybrid Transformation Methods

Black–Scholes partial differential equation is a generally acceptable model in financial markets for option pricing. However, without variable transformations, the provision of symbolic solutions to the variable coefficient partial differential equation is not a straight-forward task. Moreover, the...

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Bibliographic Details
Main Authors: Zainab Olabisi Dere, Gbeminiyi Musibau Sobamowo, Antonio Marcos de Oliveira Siqueira
Format: Article
Language:English
Published: Universidade Federal de Viçosa (UFV) 2022-06-01
Series:The Journal of Engineering and Exact Sciences
Subjects:
Black–Scholes model; Partial differential Equation; Financial Market; Option pricing; Laplace-differential transformation method.
Online Access:https://periodicos.ufv.br/jcec/article/view/15223
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