GDL

Journal from gdlhub / 2019-05-16 09:08:43
Oleh : S. O. Edeki, G. O. Akinlabi, O. González-Gaxiola, Telkomnika
Dibuat : 2019-05-16, dengan 1 file

Keyword : adomian decomposition method, asian option, black-scholes model, option pricing
Url : http://journal.uad.ac.id/index.php/TELKOMNIKA/article/view/9179
Sumber pengambilan dokumen : WEB

One of the main issues of concern in financial mathematics has been a viable method for obtaining analytical solutions of the Black-Scholes model associated with Arithmetic Asian Option (AAO). In this paper, a proposed semi-analytical technique: Adomian Decomposition Method (ADM) is applied for the first time, for analytical solution of a continuous arithmetic Asian option model. The ADM gives the solution in explicit form with few iterations. The computational work involved is less. However, high level of accuracy is not neglected. The obtained solution conforms with those of Rogers and Shi (J. of Applied Probability 32: 1995, 1077-1088), and Elshegmani and Ahmad (ScienceAsia, 39S: 2013, 67–69). Thus, the proposed method is highly recommended for analytical solution of other versions of Asian option pricing models such as the geometric form for puts and calls, even in their time-fractional forms.

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