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Ghevariya, Sanjay. (1401). PDTM approach to solve Black Scholes equation for powered ML-Payoff function. سامانه مدیریت نشریات علمی, 10(2), 320-326. doi: 10.22034/cmde.2021.37944.1675
Sanjay J Ghevariya. "PDTM approach to solve Black Scholes equation for powered ML-Payoff function". سامانه مدیریت نشریات علمی, 10, 2, 1401, 320-326. doi: 10.22034/cmde.2021.37944.1675
Ghevariya, Sanjay. (1401). 'PDTM approach to solve Black Scholes equation for powered ML-Payoff function', سامانه مدیریت نشریات علمی, 10(2), pp. 320-326. doi: 10.22034/cmde.2021.37944.1675
Ghevariya, Sanjay. PDTM approach to solve Black Scholes equation for powered ML-Payoff function. سامانه مدیریت نشریات علمی, 1401; 10(2): 320-326. doi: 10.22034/cmde.2021.37944.1675

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

Computational Methods for Differential Equations
مقاله 3، دوره 10، شماره 2، تیر 2022، صفحه 320-326    اصل مقاله (8.23 M)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2021.37944.1675
نویسنده
Sanjay J Ghevariya*
Department of Mathematics, Sardar Patel University, Vallabh Vidyanagar, Gujarat, India.
چکیده
In this paper, the Projected Differential Transform Method (PDTM) has been used to solve the Black Scholes differential equation for powered Modified Log Payoff (ML-Payoff) functions,$\max\{S^k\ln\big(\frac{S}{K}\big),0\}$ and $\max\{S^k\ln\big(\frac{K}{S}\big),0\}‎, ‎(k\in \mathbb{R^{+}}\cup \{0\})$‎. It is the generalization of Black Scholes model for ML-Payoff functions. It can be seen that values from PDTM are quite accurate to the closed form solutions.
کلیدواژه‌ها
Black Scholes formulas؛ Projected differential transform method؛ ML-Payoff functions؛ Plain vanilla options
مراجع
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