Solution of the Black-Scholes equation via the Adomian decomposition method

 
 
 
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    The Adomian Decomposition Method (ADM) is applied to obtain a fast and reliable solution to the Black-Scholes equation with boundary condition for a European option. We cast the problem of pricing a European option with boundary conditions in terms of a diffusion partial differential equation with homogeneous boundary condition in order to apply the ADM. The analytical solution of the equations is calculated in the form of an explicit series approximation.


 

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Article ID: 871
 
DOI: 10.14419/ijamr.v2i4.871




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