Journal of Applied and Pure Mathematics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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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

  • Received : 2024.02.06
  • Accepted : 2024.05.18
  • Published : 2024.07.30
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Abstract

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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Acknowledgement

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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