Solution of the black-scholes equation via the Adomian decomposition method
The Adomian Decomposition Method (ADM) is applied to obtain a fast and reliable solution to the BlackScholes 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 ho...
| Autores: | , , |
|---|---|
| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2014 |
| País: | México |
| Institución: | Universidad Autónoma de Yucatán |
| Repositorio: | Repositorio Digital Institucional de la Universidad Autónoma de Yucatán |
| Idioma: | inglés |
| OAI Identifier: | oai:redi.uady.mx:123456789/536 |
| Acceso en línea: | http://redi.uady.mx:8080/handle/123456789/536 |
| Access Level: | acceso abierto |
| Palabra clave: | info:eu-repo/classification/cti/1 info:eu-repo/classification/cti/12 Adomian decomposition method Black-scholes equation Call option Put option |
| Sumario: | The Adomian Decomposition Method (ADM) is applied to obtain a fast and reliable solution to the BlackScholes 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. |
|---|