A Note on Black-Scholes Pricing Model for Theoretical Values of Stock Options

Edeki, S.O. and Ugbebor, Olabisi O. and Owoloko, E. A. (2016) A Note on Black-Scholes Pricing Model for Theoretical Values of Stock Options. In: AIP Conference Proceedings, 2016.

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Abstract

In this paper, we consider some conditions that transform the classical Black-Scholes Model for stock options valuation from its partial differential equation (PDE) form to an equivalent ordinary differential equation (ODE) form. In addition, we propose a relatively new semi-analytical method for the solution of the transformed Black-Scholes model. The obtained solutions via this method can be used to find the theoretical values of the stock options in relation to their fair prices. In considering the reliability and efficiency of the models, we test some cases and the results are in good agreement with the exact solution.

Item Type:	Conference or Workshop Item (Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Engineering, Science and Mathematics > School of Mathematics
Depositing User:	Mrs Patricia Nwokealisi
Date Deposited:	30 Aug 2017 12:09
Last Modified:	30 Aug 2017 12:09
URI:	http://eprints.covenantuniversity.edu.ng/id/eprint/9002

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