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IJMST
Published by CV. Abhinaya Indo Group
ISSN : -     EISSN : 30903831     DOI : https://doi.org/10.64021/ijmst
Core Subject : Science,
Computer Science & IT
Indonesian Journal of Modern Science and Technology is an academic Indonesian journal that specializes in a variety of modern research in science and technology relevant to development. The journal is designed as a platform for researchers, academics, and practitioners to share their latest discoveries and innovations in various fields, including artificial intelligence, Internet of Things (IoT), information technology, robotics, electrical, biotechnology, engineering, and environmental technology. With a focus on the application of modern technology in Indonesia, the journal also covers interdisciplinary research that combines technology with social, economic, and environmental sciences.
Arjuna Subject : Ilmu Komputer (semua kategori) - Ilmu Komputer (Lain-Lain)
Articles 1 Documents
 1 
Search results for , issue "Vol. 2 No. 1 (2026): January" : 1 Documents clear
Option Pricing with Periodic Volatility : A Modified Black-Scholes Model Using Jacobi Elliptic Functions Obi, Chinwe N.; Osu , Bright O.; Azor, Promise
Indonesian Journal of Modern Science and Technology Vol. 2 No. 1 (2026): January
Publisher : CV. Abhinaya Indo Group

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.64021/

Abstract

In this work, a modified Black-Scholes model for European option pricing is presented, in which the volatility function exhibits a periodic pattern determined by the Jacobi elliptic sine function. This method maintains smoothness and mathematical tractability while capturing organized, oscillatory activity frequently seen in financial markets. We develop the relevant parabolic partial differential equation and confirm regularity and uniform ellipticity criteria to confirm that it is well-posed. The complete model is solved nu- merically using a Crank-Nicolson finite difference method after a formal solution is derived using the Fourier transform under some assumptions. The findings of the simulation show how volatility patterns and option prices are impacted by changes in the elliptic modulus. Specifi- cally, for short-term and at-the-money options, the model produces rippling price surfaces and observable deviations from traditional Black-Scholes pricing. This methodology, which remains rooted in the traditional option pricing model while offering insight into periodic risk dynamics, provides a useful and understandable alternative for stochastic volatility models.

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