Edeki, S.O. and Jena, R. M. and Ogundile, O. P. and Chakraverty, S. (2021) PDTM for the solution of a time-fractional barrier option Black-Scholes model. In: International Conference on Recent Trends in Applied Research, 2021, Online.
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Abstract
This paper introduces the Fractional Projected Differential Transform Method (FPDTM) for the solution of the Time-fractional Barrier Option Black-Scholes Pricing Model (TFBOBSPM). The method seeks the solution using sufficient initial (transformed boundary conditions), without any discretization or restrictive assumptions. The efficiency and precision of the proposed methods are tested using illustrative examples. Thus, the FPDTM is suggested for strongly nonlinear differential models with financial applications
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | Option pricing; Black-Scholes equation; Differential model, Barrier option; fractional calculus |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | Mrs Patricia Nwokealisi |
| Date Deposited: | 01 Jun 2022 13:06 |
| Last Modified: | 01 Jun 2022 13:06 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/15921 |
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