• 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