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- W2211203984 abstract "In this paper two dierent methods are presented to approximate the solution of the fractional Black- Scholes equation for valuation of barrier option. Also, the two schemes need less computational work in comparison with the traditional methods. In this work, we propose a new generalization of the two-dimensional dierential transform method and decomposition method that will extend the application of this methods for pricing barrier options of fractional version of the Black-Scholes model. Undoubtedly this model is the most well known model for pricing nancial derivatives. This methods nds the analytical solution without any discretization or additive assumption. the approximate analytic solution is calculated in the form of convergent series with easily computable components, to solve the fractional Black-Scholes equation." @default.
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- W2211203984 date "2015-04-01" @default.
- W2211203984 modified "2023-09-27" @default.
- W2211203984 title "BARRIER OPTIONS PRICING OF FRACTIONAL VERSION OF THE BLACK-SCHOLES MODEL" @default.
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