Journal of Applied and Pure Mathematics

  • 제6권3_4호
  • /
  • Pages.141-154
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  • 2024
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  • 2671-4000(pISSN)
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  • 2636-1612(eISSN)
한국전산응용수학회 (The Korean Society for Computational and Applied Mathematics)
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THE DYNAMICS OF EUROPEAN-STYLE OPTION PRICING IN THE FINANCIAL MARKET UTILIZING THE BLACK-SCHOLES MODEL WITH TWO ASSETS, SUPPORTED BY VARIATIONAL ITERATION TECHNIQUE

  • FAROOQ AHMED SHAH (COMSATS University Islamabad, Attock Campus) ;
  • TAYYAB ZAMIR (COMSATS University Islamabad, Attock Campus) ;
  • EHSAN UL HAQ (Hong Kong Baptist University) ;
  • IQRA ABID (COMSATS University Islamabad, Attock Campus)
  • 투고 : 2024.02.06
  • 심사 : 2024.05.18
  • 발행 : 2024.07.30
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초록

This article offers a thorough exploration of a modified Black-Scholes model featuring two assets. The determination of option prices is accomplished through the Black-Scholes partial differential equation, leveraging the variational iteration method. This approach represents a semi-analytical technique that incorporates the use of Lagrange multipliers. The Lagrange multiplier emerges as a beacon of efficiency, adeptly streamlining the computational intricacies, and elevating the model's efficacy to unprecedented heights. For better understanding of the presented system, a graphical and tabular interpretation is presented with the help of Maple software.

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과제정보

The authors would like to thank the editor and the anonymous reviewers for their constructive comments and suggestions, which improved the quality of this paper.

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