Solution of the Black-Scholes equation via the Adomian decomposition method
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Received date: April 26, 2013
Accepted date: May 10, 2013
Published date: October 19, 2013
https://doi.org/10.14419/ijamr.v2i4.871
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Abstract
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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How to Cite
Avila, E. J., Estrella, A. G., & Blanco, L. D. (2013). Solution of the Black-Scholes equation via the Adomian decomposition method. International Journal of Applied Mathematical Research, 2(4), 486-494. https://doi.org/10.14419/ijamr.v2i4.871Received date: April 26, 2013
Accepted date: May 10, 2013
Published date: October 19, 2013