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A New Approach for Solving Boundary Value Problem in Partial Differential Equation Arising in Financial Market
Department of Mathematical Sciences, Ekiti State University, Ado Ekiti, Nigeria
Department of Mathematical and Physical Sciences, Afe Babalola University, Ado Ekiti, Nigeria
- 1 Department of Mathematical Sciences, Ekiti State University, Ado Ekiti, Nigeria
- 2 Department of Mathematical and Physical Sciences, Afe Babalola University, Ado Ekiti, Nigeria
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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.
KeywordsBlack-Scholes-Merton ModelBoundary Value ProblemEuropean Call OptionFinancial MarketLaplace Transform
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