Solution of the black-scholes equation via the Adomian decomposition method
Autor: LUIS DANIEL BLANCO COCOM; ANGEL GABRIEL ESTRELLA GONZALEZ; ERIC JOSE AVILA VALES;
Colecciones: Artículos [523]
URI:
Metadatos: Mostrar el registro completo del recurso
Resumen
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.
Archivos en el recurso
