Edeki, S.O. and Ugbebor, Olabisi O. and Ogundile, O. P. (2019) Analytical Solutions of a Continuous Arithmetic Asian Model for Option Pricing using Projected Differential Transform Method. Source: Engineering Letters, 27 (2). pp. 51-58.
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Abstract
In financial mathematics, the procedure for finding the solutions of the Black-Scholes model defined in terms of Arithmetic Asian Option (AAO) is one of the most tasking issues when considering its corresponding analytical solutions. In this paper, such analytical solution of a continuous arithmetic Asian option is obtained through the application of a proposed semi-analytical approach known as Projected Differential transform Method (PDTM). The Asian option model in continuous arithmetic form witnesses the application of PDTM for the first time in literature (to the authors’ best of knowledge). The PDTM entails less computational work, even without neglecting the high level of accuracy. The obtained solution is in agreement with those in literature via other solution methods. In terms of recommendation, the proposed solution method will be of great interest for related versions or forms of Asian option pricing models (geometric) likewise other financial nonlinear differential models
| Item Type: | Article |
|---|---|
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | Mrs Patricia Nwokealisi |
| Date Deposited: | 06 Jun 2022 10:45 |
| Last Modified: | 06 Jun 2022 10:45 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/15944 |
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