Affiliation:
1. Department of Mathematics Sukkur IBA University, Sukkur, Sindh, Pakistan
Abstract
The objective of this paper is twofold. Firstly, to derive time-fractional
evolution equation modeling the No-Arbitrage premium of Asian option (with
arithmetic and geometric averages ) contingent upon an underlying asset that
satisfies the fractional stochastic differential equation, in a setting when
the strike price is fixed and floating. Secondly, we have computed the four
versions of the put-call parities for Asian options, by solving the
time-fractional Black-Scholes evolution modeling the difference of the
premiums of put and call Asian options, through Fractional Reduced
Differential Transform (FRDT) algorithm. We have also established the
convergence and the error estimates for the FRDT Algorithm for the two
independent variables.
Publisher
National Library of Serbia
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献