Black-Scholes Partial Differential Equation In The Mellin Transform Domain
Journal: International Journal of Scientific & Technology Research (Vol.3, No. 12)Publication Date: 2014-12-15
Authors : Fadugba Sunday Emmanuel; Ogunrinde Roseline Bosede;
Page : 200-206
Keywords : Keywords Black-Scholes Model; Black-Scholes Partial Differential Equation; Dividend Yield; European Option; Mellin Transform Method; Option;
Abstract
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
Other Latest Articles
- The Importance Of Business Process Modelling In Terms Of University Education
- Assessment Of Microbiological Sterility In Radioimmunoassay Laboratory Using SCDM And FTM Materials
- Effects of Particulate Matter on the Anatomy of some Tropical Plants Alchonea cordifolia Musa paradisiaca and Manihot esculenta
- Dry And Wet Seasons Dynamics In Concentrations Of Ni V Cd Pb Mn Fe Co And Zn In Soil Samples Within Farm Lands In Ibeno Coastal Area Akwa Ibom State Niger Delta Nigeria.
- Experimental Investigation Of Temeke Groundwater Quality Accessibility And Its Health Implications
Last modified: 2015-06-28 04:04:25