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

  • Authors

    • Eric José Avila Universidad Autónoma de Yucatán
    • Angel Gabriel Estrella Universidad Autónoma de Yucatán
    • Luis Daniel Blanco Universidad Autónoma de Yucatán
    2013-10-19
    https://doi.org/10.14419/ijamr.v2i4.871

  • 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.

  • Downloads

  • 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.v2i4.871

    Received date: 2013-04-26

    Accepted date: 2013-05-10

    Published date: 2013-10-19