Open AccessPricing American put option under fractional model
Author(s) -
Mohamed Kharrat
Publication year - 2021
Publication title -
filomat
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.449
H-Index - 34
eISSN - 2406-0933
pISSN - 0354-5180
DOI - 10.2298/fil2110433k
Subject(s) - mathematics , complement (music) , convergence (economics) , adomian decomposition method , set (abstract data type) , work (physics) , valuation of options , black–scholes model , mathematical economics , mathematical optimization , mathematical analysis , econometrics , partial differential equation , computer science , economics , mechanical engineering , volatility (finance) , biochemistry , chemistry , engineering , complementation , programming language , gene , phenotype , economic growth
In this research work, our chief target is to elaborate an analytical solution of the fractional linear complement problem related to the evaluation of American put option generated by the fractional Black and Scholes model using the Adomian decomposition method, a numerical study is set forward to perform the theoretical result. Compared to the existent fractional model we prove that our result has a prompt convergence to the solution.