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Black-Scholes Partial Differential Equation In The Mellin Transform Domain

Journal: International Journal of Scientific & Technology Research (Vol.3, No. 12)

Publication Date:

Authors : ; ;

Page : 200-206

Keywords : Keywords Black-Scholes Model; Black-Scholes Partial Differential Equation; Dividend Yield; European Option; Mellin Transform Method; Option;

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Abstract This paper presents Black-Scholes partial differential equation in the Mellin transform domain. The Mellin transform method is one of the most popular methods for solving diffusion equations in many areas of science and technology. This method is a powerful tool used in the valuation of options. We extend the Mellin transform method proposed by Panini and Srivastav 7 to derive the price of European power put options with dividend yield. We also derive the fundamental valuation formula known as the Black-Scholes model using the convolution property of the Mellin transform method. 2010 Mathematics Subject Classification 44A15 60H30 91G99

Last modified: 2015-06-28 04:04:25