{"title":"PDTM Approach to Solve Black Scholes Equation for Powered ML-Payoff Function","authors":"S. J. Ghevariya","doi":"10.22034/CMDE.2021.37944.1675","DOIUrl":null,"url":null,"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, $max {S^klnbig(frac{S}{K}big),0}$ and $max{S^klnbig(frac{K}{S}big),0}, (kin mathbb{R^{+}}cup {0})$. It is the generalization of Black Scholes model for ML-Payoff functions. It can be seen that values from PDTM is quite accurate to the closed form solutions.","PeriodicalId":44352,"journal":{"name":"Computational Methods for Differential Equations","volume":null,"pages":null},"PeriodicalIF":1.1000,"publicationDate":"2021-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Computational Methods for Differential Equations","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22034/CMDE.2021.37944.1675","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 2
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, $max {S^klnbig(frac{S}{K}big),0}$ and $max{S^klnbig(frac{K}{S}big),0}, (kin mathbb{R^{+}}cup {0})$. It is the generalization of Black Scholes model for ML-Payoff functions. It can be seen that values from PDTM is quite accurate to the closed form solutions.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
