Solving the Black–Scholes European options model using the reduced differential transform method with powered modified log-payoff function

Solving the Black–Scholes European options model using the reduced differential transform method with powered modified log-payoff function

This study introduces a novel analytical method for the Black–Scholes European options model, employing modified log-payoff functions raised to a power. The main motivation for this study stems from the need to develop more efficient and accurate analytical techniques for option pricing, particularl...

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Bibliographic Details
Main Authors: S.E. Fadugba, A.M. Udoye, S.C. Zelibe, S.O. Edeki, C. Achudume, A.A. Adeyanju, O. Makinde, P.A. Bankole, M.C. Kekana
Format: Article
Language:English
Published: Elsevier 2025-03-01
Series:Partial Differential Equations in Applied Mathematics
Subjects:
European option model
Non-dividend
Non-linear return
Semi-analytical method
Sensitivity analysis
Online Access:http://www.sciencedirect.com/science/article/pii/S2666818125000154
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