求解幂次ml -收益函数Black Scholes方程的PDTM方法

IF 1.1 Q2 MATHEMATICS, APPLIED

Computational Methods for Differential Equations Pub Date : 2021-03-21 DOI:10.22034/CMDE.2021.37944.1675

S. J. Ghevariya

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引用次数: 2

摘要

在本文中，投影微分变换方法（PDTM）被用于求解幂次修正对数收益函数的Black-Scholes微分方程，$max{S^klnbig（frac{S}{K}big)，0｝$和$max｛S^klnbig（frac｛K｝{S}big)，0｝，（kin-mathbb｛R^｛+｝｝cup｛0｝）$。它是Black-Scholes模型对ML Payoff函数的推广。可以看出，PDTM的值对于闭合形式的解是相当精确的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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PDTM Approach to Solve Black Scholes Equation for Powered ML-Payoff Function

In this paper, the Projected Differential Transform Method (PDTM) has been used to solve the Black Scholes differential equation for powered Modified Log Payoff (ML-Payoff) functions, $max {S^klnbig(frac{S}{K}big),0}$ and $max{S^klnbig(frac{K}{S}big),0}, (kin mathbb{R^{+}}cup {0})$. It is the generalization of Black Scholes model for ML-Payoff functions. It can be seen that values from PDTM is quite accurate to the closed form solutions.

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来源期刊

Computational Methods for Differential Equations MATHEMATICS, APPLIED-

CiteScore

2.20

自引率

27.30%

发文量

审稿时长

4 weeks