Analytical Solutions of a Continuous Arithmetic Asian Model for Option Pricing using Projected Differential Transform Method

Analytical Solutions of a Continuous Arithmetic Asian Model for Option Pricing using Projected Differential Transform Method

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In financial mathematics, the procedure for finding the solutions of the Black-Scholes model defined in terms of Arithmetic Asian Option (AAO) is one of the most tasking issues when considering its corresponding analytical solutions. In this paper, such analytical solution of a continuous arithmetic Asian option is obtained through the application of a proposed semi-analytical approach known as...
 
Published at Engineering Letters
Volume 27
Issue 2
Published in 2019
 
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Sunday O. EDEKI, Member, IAENG, Olabisi O. UGBEBOR, and Paul O. OGUNDILE
Ogundile Opeyemi » Opeyemi Paul Ogundile obtained his B.Sc and M.Sc in Industrial Mathematics from Covenant University. He works as a researcher and Lecturer at the department of mathematics, Covenant University,Ota, Ogun State. His research interests include: Financial and Computational Mathematics, Modelling, Stochastic processes and numerics. view full profile
Ogundile Opeyemi
 
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