Author(s)

Fadugba Sunday Emmanuel^1*, Emeka Helen Oluyemisi²

¹Department of Mathematical Sciences, Ekiti State University, Ado Ekiti, Nigeria.
²Department of Mathematical and Physical Sciences, Afe Babalola University, Ado Ekiti, Nigeria.

In this paper, we present a new approach for solving boundary value problem in partial differential equation arising in financial market by means of the Laplace transform. The result shows that the Laplace transform for the price of the European call option which pays dividend yield reduces to the Black-Scholes-Merton model.

Black-Scholes-Merton Model, Boundary Value Problem, European Call Option, Financial Market, Laplace Transform

Emmanuel, F. and Oluyemisi, E. (2016) A New Approach for Solving Boundary Value Problem in Partial Differential Equation Arising in Financial Market. Applied Mathematics, 7, 840-851. doi: 10.4236/am.2016.79075.