Title of article
pdtm approach to solve black scholes equation for powered ml-payoff function
Author/Authors
ghevariya, sanjay j. sardar patel university - department of mathematics, gujarat, india
From page
320
To page
326
Abstract
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 ( s/k ) , 0} and max{s^k ln (k/s ) , 0}, (k ∈ r+ ∪ {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.
Keywords
black scholes formulas , projected differential transform method , ml , payoff functions , plain vanilla options
Journal title
Computational Methods for Differential Equations
Journal title
Computational Methods for Differential Equations
Record number
2704844
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