International Journal of Advances in Mathematics
International Journal of Advances in Mathematics
2456-6098
Volume 2018
Number 3
2018
May
01
Optimal Expected Value of Assets Under Black-Scholes Equation with Transaction Costs
17
24
EN
Joy Ijeoma
Adindu-Dick
Department of Mathematics, Imo State University,\\
Owerri, Nigeria.
ji16adindudick@yahoo.com
This paper deals with optimal expected value of assets under Black-Scholes equation with transaction costs. The partial differential equation for option pricing with transaction costs on the domain $(P,T)\in(0,\infty)\times (0,T)$ with terminal condition $C(P,T)=max(P-E,0),P\in(0,\infty)$ for European call options with strike price $E$, and a suitable terminal condition for European puts was obtained and then solved using Eulers substitution method.
Black-Scholes equation with transaction costs, Optimal value, Eulers substitution method, Option pricing.
http://adv-math.com/optimal-expected-value-assets-black-scholes-equation-transaction-costs/
http://adv-math.com/wp-content/uploads/2018/05/201805.pdf