Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of Europ...Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of European Stock options and establish the theoretical foundation for Option pricing. Therefore, this paper evaluates the Black-Schole model in simulating the European call in a cash flow in the dependent drift and focuses on obtaining analytic and then approximate solution for the model. The work also examines Fokker Planck Equation (FPE) and extracts the link between FPE and B-SM for non equilibrium systems. The B-SM is then solved via the Elzaki transform method (ETM). The computational procedures were obtained using MAPLE 18 with the solution provided in the form of convergent series.展开更多
This paper studies the multi-dimensional Black-Scholes model of security valnation. The extension of the Black-Scholes model implies; the partial differential equation derived from an absence of arbitrage which the au...This paper studies the multi-dimensional Black-Scholes model of security valnation. The extension of the Black-Scholes model implies; the partial differential equation derived from an absence of arbitrage which the authors solve by using the Feynmeu-Kac Formula. Then they compute its special example by solving the multi-variable partial differential equation.展开更多
文摘Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of European Stock options and establish the theoretical foundation for Option pricing. Therefore, this paper evaluates the Black-Schole model in simulating the European call in a cash flow in the dependent drift and focuses on obtaining analytic and then approximate solution for the model. The work also examines Fokker Planck Equation (FPE) and extracts the link between FPE and B-SM for non equilibrium systems. The B-SM is then solved via the Elzaki transform method (ETM). The computational procedures were obtained using MAPLE 18 with the solution provided in the form of convergent series.
文摘This paper studies the multi-dimensional Black-Scholes model of security valnation. The extension of the Black-Scholes model implies; the partial differential equation derived from an absence of arbitrage which the authors solve by using the Feynmeu-Kac Formula. Then they compute its special example by solving the multi-variable partial differential equation.
