TY - JOUR
T1 - Modified Differential Transform Method for Solving Black-Scholes Pricing Model of European Option Valuation Paying Continuous Dividends
AU - Ahmad , Manzoor
AU - Mishra , Raishree
AU - Jain , Renu
JO - Journal of Partial Differential Equations
VL - 4
SP - 381
EP - 393
PY - 2023
DA - 2023/11
SN - 36
DO - http://doi.org/10.4208/jpde.v36.n4.4
UR - https://global-sci.org/intro/article_detail/jpde/22135.html
KW - European option pricing, Black-Scholes equation, call option, put option, modified differential transform method.
AB - <p style="text-align: justify;">Option pricing is a major problem in quantitative finance. The Black-Scholes
model proves to be an effective model for the pricing of options. In this paper a computational method known as the modified differential transform method has been employed to obtain the series solution of Black-Scholes equation with boundary conditions for European call and put options paying continuous dividends. The proposed
method does not need discretization to find out the solution and thus the computational work is reduced considerably. The results are plotted graphically to establish
the accuracy and efficacy of the proposed method.</p>