Abstract
This paper contributes to the valuation of Black–Scholes–Merton (BSM) European option pricing formula for Modified Log-payoff (ML-payoff) function, [Formula: see text] through Projected Differential Transform Method (PDTM). The ML-payoff function is closely related with the entropy function [Formula: see text] in Information Theory. It turns out that the present BSM formula is quite close to the celebrated plain vanilla option.
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