Solution of the black-scholes equation via the Adomian decomposition method

dc.coverage.spatial	Generación de conocimiento
dc.creator	LUIS DANIEL BLANCO COCOM
dc.creator	ANGEL GABRIEL ESTRELLA GONZALEZ
dc.creator	ERIC JOSE AVILA VALES
dc.date	2014-12-31
dc.date.accessioned	2018-10-04T15:08:01Z
dc.date.available	2018-10-04T15:08:01Z
dc.identifier	http://dx.doi.org/10.14419/ijamr.v2i4.871
dc.identifier.uri	http://redi.uady.mx:8080/handle/123456789/536
dc.description.abstract	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.
dc.language	eng
dc.publisher	International Journal of Applied Mathematical Research
dc.relation	citation:0
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	http://creativecommons.org/licenses/by-nc-nd/4.0
dc.source	urn:issn:2227-4324
dc.subject	info:eu-repo/classification/cti/1
dc.subject	CIENCIAS FÍSICO MATEMÁTICAS Y CIENCIAS DE LA TIERRA
dc.subject	info:eu-repo/classification/cti/12
dc.subject	Adomian decomposition method
dc.subject	Black-scholes equation
dc.subject	Call option
dc.subject	Put option
dc.title	Solution of the black-scholes equation via the Adomian decomposition method
dc.type	info:eu-repo/semantics/article