eprintid: 16580
rev_number: 10
eprint_status: archive
userid: 3393
dir: disk0/00/01/65/80
datestamp: 2023-02-02 11:21:38
lastmod: 2023-02-02 11:21:38
status_changed: 2023-02-02 11:21:38
type: conference_item
metadata_visibility: show
creators_name: Edeki, S.O.
creators_name: Fadugba, S. E
title: Solution of a barrier option Black-Scholes model based on
projected differential transformation method
ispublished: pub
subjects: Q1
subjects: QA
divisions: sch_mat
full_text_status: public
pres_type: paper
keywords: Option pricing; Black-Scholes equation; Differential model, Barrier option; closed-form solution
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.
date: 2020
date_type: published
event_title: International Conference on Recent Trends in Applied Research (ICoRTAR)
event_type: conference
refereed: TRUE
citation:   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).     
document_url: http://eprints.covenantuniversity.edu.ng/16580/1/Edeki_2021_J._Phys.%20_Conf._Ser._1734_012054.pdf