TITLE:
A New Approach for Solving Boundary Value Problem in Partial Differential Equation Arising in Financial Market
AUTHORS:
Fadugba Sunday Emmanuel, Emeka Helen Oluyemisi
KEYWORDS:
Black-Scholes-Merton Model, Boundary Value Problem, European Call Option, Financial Market, Laplace Transform
JOURNAL NAME:
Applied Mathematics,
Vol.7 No.9,
May
26,
2016
ABSTRACT: In this paper, we present a new approach
for solving boundary value problem in partial differential equation arising in
financial market by means of the Laplace transform. The result shows that the
Laplace transform for the price of the European call option which pays dividend
yield reduces to the Black-Scholes-Merton model.