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Journal of Applied Sciences
  Year: 2020 | Volume: 20 | Issue: 3 | Page No.: 104-108
DOI: 10.3923/jas.2020.104.108
 
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Bilateral Risky Partial Differential Equation Model for European Style Option

Sunday Emmanuel Fadugba and Florence Dami Ayegbusi

Abstract:
Background and Objectives: In this study, a bilateral risky partial differential equation model for the European style option is presented. European option is an option contract that can only be exercised at the maturity date. Materials and Methods: The derivation of the model has been obtained by means of a self-financing portfolio. Results: It is clearly seen that the bilateral risky partial differential equation model has few adjustments when compared with the Black-Scholes model. Conclusion: Moreover, the risky partial differential equation has been decomposed into total-valuation adjustments.
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How to cite this article:

Sunday Emmanuel Fadugba and Florence Dami Ayegbusi, 2020. Bilateral Risky Partial Differential Equation Model for European Style Option. Journal of Applied Sciences, 20: 104-108.

DOI: 10.3923/jas.2020.104.108

URL: https://scialert.net/abstract/?doi=jas.2020.104.108

COMMENTS
18 May, 2020
Dr. Fadugba Sunday E.:
This research article presents a bilateral risky partial differential equation model for the European style option. This is an eye opener in the field of financial mathematics.
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