Article Number: DRJEIT21060549

DOI: https://doi.org/10.26765/DRJEIT21060549

ISSN: 2354-4155

Vol. 7(2), pp. 55-57, June 2020

Copyright © 2020

Author(s) retain the copyright of this article


Original Research Article

A Semi-analytical Solution of the Black-Scholes Pricing Model for European Call Option

Durojaye,  M. O.*

Kazeem J. A.


Abstract

This paper considers approximate solution of Black-Scholes pricing model for European call option using a semi-analytical method. In this approach, the second-order parabolic partial differential equation (PDE) is transformed into a system of ordinary differential equations (ODEs) and solved. It is observed that the approximate values obtained are in good agreement with previous results with less computational and programming efforts.


Keywords: Black-Scholes Model, European Call Option, Method of Lines (MOL)


 Received: June 3, 2020  Accepted: June 24, 2020  Published: June 30, 2020

Durojaye And Kazeem


Copyright © 2020 Direct Research Journal of Engineering and Information Technology