Edeki, S.O. and Ugbebor, Olabisi O. and Owoloko, E. A. (2016) He’s Polynomials for Analytical Solutions of the Black-Scholes Pricing Model for Stock Option Valuation. In: Proceedings of the World Congress on Engineering, June 29 - July 1, 2016, London, U.K..
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Abstract
The Black-Scholes model is one of the most famous and useful models for option valuation as regards option pricing theory. In this paper, we propose a semianalytical method referred to as He’s polynomials for solving the classical Black-Scholes pricing model with stock as the underlying asset. The proposed method gives the exact solution of the solved problem in a very simple and quick manner even with less computational work while still maintaining high level of accuracy. Hence, we recommend an extension and adoption of this method for solving problems arising in other areas of financial engineering, finance, and applied sciences
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | Analytical solutions; He’s polynomials; Black-Scholes model, stock option valuation |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | Mrs Patricia Nwokealisi |
| Date Deposited: | 09 Mar 2017 14:40 |
| Last Modified: | 09 Mar 2017 14:40 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/7898 |
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