Mojtaba Ranjbar
Azarbijan Shahid Madani University
[ 1 ] - European option pricing of fractional Black-Scholes model with new Lagrange multipliers
In this paper, a new identification of the Lagrange multipliers by means of the Sumudu transform, is employed to btain a quick and accurate solution to the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. The fractional derivatives is described in Caputo sen...
[ 2 ] - Properties of utility function for Barles and Soner model
The nonlinear Black-Scholes equation has been increasingly attracting interest over the last two decades, because it provides more accurate values by considering transaction costs as a viable assumption. In this paper we review the fully nonlinear Black-Scholes equation with an adjusted volatility which is a function of the second derivative of the price and then we prove two new theorems in th...
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