Pricing American put option under fractional model

نویسندگان

چکیده

In this research work, our chief target is to elaborate an analytical solution of the fractional linear complement problem related evaluation American put option generated by Black and Scholes model using Adomian decomposition method, a numerical study set forward perform theoretical result. Compared existent we prove that result has prompt convergence solution.

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ژورنال

عنوان ژورنال: Filomat

سال: 2021

ISSN: ['2406-0933', '0354-5180']

DOI: https://doi.org/10.2298/fil2110433k