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Nwozo, C.R. and Fadugba, S.E. (2015) On Stochastic Volatility in the Valuation of European Options. British Journal of Mathematics and Computer Science, 5, 104-127.
http://dx.doi.org/10.9734/BJMCS/2015/13176

has been cited by the following article:

• TITLE: Alternative Approach for the Solution of the Black-Scholes Partial Differential Equation for European Call Option

  AUTHORS: Sunday Emmanuel Fadugba, Adedoyin Olayinka Ajayi

  KEYWORDS: Black-Scholes Partial Differential Equation, Dividend Yield, European Call Option, Modified Mellin Transform Method

  JOURNAL NAME: Open Access Library Journal, Vol.2 No.4, April 17, 2015

  ABSTRACT: In this paper we present an alternative approach for the solution of the Black-Scholes partial differential equation for European call option which pays dividend yield using the modified Mellin transform method. The approach used in this paper does not require variables transformation. We also extend the modified Mellin transform method for the valuation of European call option which pays dividend yield. The numerical results show that the modified Mellin transform is accurate, mutually consistent and agrees with the values of the Black-Scholes model.