A New Technique for Solving Black-Scholes Equation for Vanilla Put Options
S. E. Fadugba *
Department of Mathematical Sciences, Ekiti State University, Ado Ekiti, Nigeria
R. B. Ogunrinde
Department of Mathematical Sciences, Ekiti State University, Ado Ekiti, Nigeria.
S. C. Zelibe
Department of Mathematics, Federal University of Petroleum Resources, Effurun, Nigeria.
C. Achudume
Department of Mathematics, University of Ibadan, Oyo State, Nigeria.
*Author to whom correspondence should be addressed.
Abstract
In this paper we present a new technique for solving Black-Scholes equation for vanilla put options using the Mellin transform method.
Keywords: Black-Scholes equation, Mellin transform method, vanilla put option.