in this paper two different 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 differential transform method and decomposition method that will extend the appli...

in this paper, installment options on the underlying assetwhich evolves according to black-scholes model and pays constant dividendto its owner will be considered. applying arbitrage pricing theory,the non-homogeneous parabolic partial differential equation governingthe value of installment option is derived. then, penalty method is usedto value the european continuous installment call option.

The Black-Scholes ( 1973) option pricing model is a universal standard among option valuation models. Despite its widespread popularity, however, the model has some known deficiencies in actual applications. For example, when calibrated to accurately price at-the-money options, the Black-Scholes model frequently misprices deep in-the-money and deep out-of-the-money options. Pricing biases assoc...

The Black-Scholes model is the standard approach used for pricing financial options. However, although being theoretically strong, option prices valued by the model often differ from the prices observed in the financial markets. This paper applies a hybrid neural network which preprocesses financial input data for improving the estimation of option market prices. This model is comprised of two ...

This paper compares the performance of Black-Scholes with an artificial neural network (ANN) in pricing European style call options on the FTSE 100 index. It is the first extensive study of the performance of ANNs in pricing UK options, and the first to allow for dividends in the closed-form model. For out-of themoney options, the ANN is clearly superior to Black-Scholes. For in-the-money optio...

Option valuation has been a challenging issue of financial engineering and optimization for a long time. The increasing complexity of market conditions requires utilization of advanced models that, commonly, do not lead to closed-form solutions. Development of novel numerical procedures, which prove to be efficient within various option valuation problems, is therefore worthwhile. Notwithstan...