Article Number: DRJEIT21060549
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
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)