scholarly journals European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives

2016 ◽  
Vol 1 (3) ◽  
Author(s):  
Waseem Khan ◽  
Faryal Ansari
Keyword(s):  
Option Pricing ◽  
European Option ◽  
European Option Pricing ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Sumudu Transform

Comparison of European Option Pricing Models at Multiple Periods

2021 ◽  
pp. 149-166
Author(s):  
Amir Ahmad Dar ◽  
N. Anuradha ◽  
Ziadi Nihel
Keyword(s):  
Option Pricing ◽  
Graphical Representation ◽  
European Option ◽  
Pricing Models ◽  
European Option Pricing ◽  
Black Scholes Model ◽  
Time Period ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Anderson Darling

The point of this chapter is to think about the correlation of two well-known European option pricing models – Black Scholes Model and Binomial Option Pricing Model. The above two models not statistically significant at one period. In this examination, it is shown how the above two European models are statistically significant when the time period increases. The independent paired t-test is utilized with the end goal to demonstrate that they are statistically significant to vary from one another at higher time period and the Anderson Darling test being used for the normality test. The Minitab and Excel programming has been utilized for graphical representation and the hypothesis testing.

A Binary Option Pricing Based on Fuzziness

2014 ◽  
Vol 13 (06) ◽  
pp. 1211-1227 ◽  
Author(s):  
Masatoshi Miyake ◽  
Hiroshi Inoue ◽  
Jianming Shi ◽  
Tetsuya Shimokawa
Keyword(s):  
Monte Carlo ◽  
Option Pricing ◽  
Primary Role ◽  
Pricing Model ◽  
European Option ◽  
Over The Counter ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Fuzzy Boundary

In pricing for European option Black–Scholes model has been widely used in various fields in which the model can be applied under appropriate conditions. In this paper, we discuss a binary option, which is popular in OTC (Over the Counter) market for hedging and speculation. In particular, asset-or-nothing option is basic for any other options but gives essential implications for constructing more complex option products. In addition to the primary role of the asset-or-nothing option, another availability of the option is considered by introducing fuzzy concept. Therefore, the uncertainty which an investor and intermediary usually have in their minds is incorporated in the pricing model. Thus, the model is described with fuzzy boundary conditions and applied to the conventional binary option, proposing more useful and actual pricing way of the option. This methodology with the analysis is examined, comparing with Monte Carlo simulations.

Solution of time fractional Black-Scholes European option pricing equation arising in financial market

2016 ◽  
Vol 5 (4) ◽  
Author(s):  
A.S.V. Ravi Kanth ◽  
K. Aruna
Keyword(s):  
Boundary Conditions ◽  
Option Pricing ◽  
Financial Market ◽  
Differential Transform Method ◽  
European Option ◽  
Transform Method ◽  
European Option Pricing ◽  
Black Scholes ◽  
Differential Transform ◽  
Fractional Differential

AbstractIn this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or restrictive assumptions with the use of appropriate initial or boundary conditions. The efficiency and exactitude of the proposed methods are tested by means of three examples.

On the Black-Scholes European Option Pricing Model Robustness and Generality

2008 ◽  
Author(s):  
Hellinton Hatsuo Takada ◽  
José de Oliveira Siqueira ◽  
Marcelo de Souza Lauretto ◽  
Carlos Alberto de Bragança Pereira ◽  
Julio Michael Stern
Keyword(s):  
Option Pricing ◽  
Pricing Model ◽  
European Option ◽  
European Option Pricing ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Model Robustness

scholarly journals Laplace Decomposition Method for Solving Fractional Black-Scholes European Option Pricing Equation

2020 ◽  
Vol 1 (4) ◽  
pp. 194-207
Author(s):  
Abiodun Ezekiel Owoyemi ◽  
Ira Sumiati ◽  
Endang Rusyaman ◽  
Sukono Sukono
Keyword(s):  
Differential Equations ◽  
Fractional Calculus ◽  
Option Pricing ◽  
Decomposition Method ◽  
European Option ◽  
Partial Differential ◽  
European Option Pricing ◽  
Black Scholes ◽  
Pricing Problems ◽  
Laplace Decomposition Method

Fractional calculus is related to derivatives and integrals with the order is not an integer. Fractional Black-Scholes partial differential equation to determine the price of European-type call options is an application of fractional calculus in the economic and financial fields. Laplace decomposition method is one of the reliable and effective numerical methods for solving fractional differential equations. Thus, this paper aims to apply the Laplace decomposition method for solving the fractional Black-Scholes equation, where the fractional derivative used is the Caputo sense. Two numerical illustrations are presented in this paper. The results show that the Laplace decomposition method is an efficient, easy and very useful method for finding solutions of fractional Black-Scholes partial differential equations and boundary conditions for European option pricing problems.

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