Research Specifications

Home \Barrier options pricing of ...
Title
Barrier options pricing of fractional version of‎‎ the Black-Scholes model
Type of Research Article
Keywords
Fractional Black-Scholes equations; Barrier option pricing problem; Analytical solution.
Abstract
In this paper two di erent methods are presented to approximate the solution of the fractional Black- Scholes equation for valuation of barrier option. Also, the two schemes need less computational work in comparison with the traditional methods. In this work, we propose a new generalization of the two-dimensional di erential transform method and decomposition method that will extend the application of this methods for pricing barrier options of fractional version of the Black-Scholes model. Undoubtedly this model is the most well known model for pricing nancial derivatives. This methods nds the analytical solution without any discretization or additive assumption. the approximate analytic solution is calculated in the form of convergent series with easily computable components, to solve the fractional Black-Scholes equation.
Researchers Mohhamd Ali Mohebbi Ghandehari (First Researcher)، Mojtaba Ranjbar (Second Researcher)