Numerical approach to the black-scholes model using Mamadu-Njoseh polynomials as basis functions
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Abstract
This paper computed the option price using two different methods. The first method is to derive the analytical solution to the option price based on the classical Black-Scholes model. Next, the BlackScholes differential equation was used to estimate the option price via a proposed numerical method called the reconstructed variational iteration method (RVIM) for stock price estimation. Here, the proposed method assumes the Mamadu-Njoseh polynomials as basis function in the estimation of the
initial approximation via the orthogonal collocation method (OCM) to start the RVIM. Results were obtained using MAPLE and presented in tables and graphs for easy comprehension and interpretation
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How to Cite
Mamadu, E. J. . (2022). Numerical approach to the black-scholes model using Mamadu-Njoseh polynomials as basis functions. NIGERIAN JOURNAL OF SCIENCE AND ENVIRONMENT, 18(2). Retrieved from https://delsunjse.com/index.php/njse/article/view/31
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