Analytically pricing double barrier options based on a time-fractional Black–Scholes equation
نویسندگان
چکیده
منابع مشابه
Pricing Double Barrier Options: An Analytical Approach
Double barrier options have become popular instruments in derivative markets. Several papers have already analysed double knock-out call and put options using di erent methods. In a recent paper, Geman and Yor (1996) derive expressions for the Laplace transform of the double barrrier option price. However, they have to resort to numerical inversion of the Laplace transform to obtain option pric...
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In this paper two different 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 differential transform method and decomposition method that will extend the appli...
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Barrier options have become increasingly popular over the last few years. Less expensive than standard options, they may provide the appropriate hedge in a number of risk management strategies. In the case of a single barrier option, the valuation problem is not very difficult (see Merton 193, Goldman-Sosin-Gatto 1979). The situation where the option gets knocked out when the underlying instrum...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2015
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2015.03.025