Fadugba, S. E and Edeki, S.O. (2022) Homotopy Analysis Method for Fractional Barrier Option PDE. In: ICORTAR, 2021, Online.
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Abstract
This paper proposes a fractional numerical study on Time-Fractional Barrier Option Model (T-FBOM) via highly convergence solution series method known as Homotopy Analysis Method (HAM). Furthermore, the pricing formula for T-FBOM was obtained. The performance of the method on some illustrative examples has been considered. The results obtained were compared with some existing approaches. Keywords: Classical barrier option, Caputo sense, fractional order, homotopy anThis paper proposes a fractional numerical study on Time-Fractional Barrier Option Model (T-FBOM) via highly convergence solution series method known as Homotopy Analysis Method (HAM). Furthermore, the pricing formula for T-FBOM was obtained. The performance of the method on some illustrative examples has been considered. The results obtained were compared with some existing approaches. Keywords: Classical barrier option, Caputo sense, fractional order, homotopy analysis method.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | Classical barrier option, Caputo sense, fractional order, homotopy analysis method |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | Mrs Patricia Nwokealisi |
| Date Deposited: | 03 Jun 2022 12:16 |
| Last Modified: | 03 Jun 2022 12:16 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/15939 |
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