A Note on Black-Scholes Pricing Model for TheoreticaludValues of Stock Options

摘要

In this paper, we consider some conditions that transform the classical Black-Scholes Model for stock optionsudvaluation from its partial differential equation (PDE) form to an equivalent ordinary differential equation (ODE) form. Inudaddition, we propose a relatively new semi-analytical method for the solution of the transformed Black-Scholes model.udThe obtained solutions via this method can be used to find the theoretical values of the stock options in relation to theirudfair prices. In considering the reliability and efficiency of the models, we test some cases and the results are in goodudagreement with the exact solution.