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Computational and Applied Mathematics Journal

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On a New Technique for the Solution of the Black-Scholes Partial Differential Equation for European Call Option

Computational and Applied Mathematics Journal
Vol.1 , No. 2, Publication Date: Apr. 3, 2015, Page: 44-49

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Authors

[1]	Sunday Emmanuel Fadugba, Department of Mathematical Sciences, Ekiti State University, Ado Ekiti, Nigeria.
[2]	Chuma Raphael Nwozo, Department of Mathematics, University of Ibadan, Ibadan, Nigeria.

Abstract

This paper presents a new technique for the solution of the Black-Scholes partial differential equation for European call option using a method based on the modified Mellin transform. We also used the modified Mellin transform method to determine the price of European call option. The modified Mellin transform method is mutually consistent and agrees with the values of Black-Scholes model as shown in Table 1.

Keywords

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

Reference

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