A NUMERICAL APPROACH FOR PRICING OF BARRIER OPTION

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MOHEBBI GHANDEHARI MOHAMMAD ALI; RANJBAR MOJTABA

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Seminar Paper

Paper Information

Seminar: ANNUAL IRANIAN MATHEMATICS CONFERENCE
Year:2013 | Issue:44

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Title

A NUMERICAL APPROACH FOR PRICING OF BARRIER OPTION

Author(s)

MOHEBBI GHANDEHARI MOHAMMAD ALI | RANJBAR MOJTABA | Issue Writer Certificate

Keywords

FRACTIONAL BLACK-SCHOLES EQUATIONS

BARRIER OPTION PRICING

ANALYTICAL SOLUTION

Abstract

IN THIS PAPER WE PROPOSE A NEW GENERALIZATION OF THE TWO-DIMENSIONAL DIFFERENTIAL TRANSFORM METHOD THAT WILL EXTEND THE APPLICATION OF THE METHOD FOR PRICING BARRIER OPTIONS OF FRACTIONAL VERSION OF THE BLACK-SCHOLES MODEL. UNDOUBTEDLY THIS MODEL IS THE MOST WELL KNOWN MODEL FOR PRICING FINANCIAL DERIVATIVES.

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APA: Copy

MOHEBBI GHANDEHARI, MOHAMMAD ALI, & RANJBAR, MOJTABA. (2013). A NUMERICAL APPROACH FOR PRICING OF BARRIER OPTION. ANNUAL IRANIAN MATHEMATICS CONFERENCE. SID. https://sid.ir/paper/924696/en

Vancouver: Copy

MOHEBBI GHANDEHARI MOHAMMAD ALI, RANJBAR MOJTABA. A NUMERICAL APPROACH FOR PRICING OF BARRIER OPTION. 2013. Available from: https://sid.ir/paper/924696/en

IEEE: Copy

MOHAMMAD ALI MOHEBBI GHANDEHARI, and MOJTABA RANJBAR, “A NUMERICAL APPROACH FOR PRICING OF BARRIER OPTION,” presented at the ANNUAL IRANIAN MATHEMATICS CONFERENCE. 2013, [Online]. Available: https://sid.ir/paper/924696/en

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