Approximate solution of Black Scholes European option pricing equation

In this paper, the di erential transform method is used to obtain an approximate solu-tion to the Black Scholes equation with boundary condition for an European option pricingproblem. The Black Scholes equation is one of the most e ective models for pricing optionsin option pricing theory and it is used as a model for valuing European or American call andput options on a non-dividend paying stock. The given method for solving this equation isan analytical-numerical method and it is based on functions Taylors expansion. Two experi-ments are provided to illustrate the accuracy and the e ectiveness of this method.

Keywords:

Black Scholes equation , European option pricing problem , Diferential transform method