Edeki, S.O. and Fadugba, S. E (2020) Solution of a barrier option Black-Scholes model based on projected differential transformation method. In: International Conference on Recent Trends in Applied Research (ICoRTAR).
![[img]](http://eprints.covenantuniversity.edu.ng/style/images/fileicons/application_pdf.png) |
PDF
Download (634kB) |
Abstract
In this article, the solution of the linear variant of a Barrier Option Black-Scholes Model (BOBSM) is considered via a semi-analytical approach referred to as the Projected Differential Transformation Method (PDTM). Similar to the traditional Differential Transformation Method, this new approach demonstrates feasible progress and efficiency of operation. For simplicity of illustrative, the BOBSM is converted to an equivalent heat-like form, and a series-form of the solution (root) is successfully obtained. Hence the PDTM is suggested for both pure and functional sciences 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; closed-form solution |
| Subjects: | Q Science > Q Science (General) Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | AKINWUMI |
| Date Deposited: | 02 Feb 2023 11:21 |
| Last Modified: | 02 Feb 2023 11:21 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/16580 |
Actions (login required)
 |
View Item |
