Solution to the Black-Scholes equation through the Adomian decomposition method
Solution to the Black-Scholes equation through the Adomian decomposition method
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 h...
| Título da revista: | ECORFAN Journal-Mexico |
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| Primer autor: | Luis Blanco Cocom |
| Outros autores: | Eric Ávila Vales; Ángel G. Estrella |
| Palavras chave: | |
| Idioma: | Inglês |
| Ligação recurso: | http://www.ecorfan.org/pdf/ECORFAN%20Journal-M%C3%A9xico%20V2%20N5_5.pdf |
| Tipo de recurso: | Artigo de revista |
| Fonte: | ECORFAN Journal-Mexico; Vol 2, No 5 (Ano 2011). |
| Entidade editora: | ECORFAN México |
| Organismos colaboradores: | INEDITO |
| Direitos de utilização: | Sin permisos preestablecidos |
| Matérias: | Ciências Sociais e Humanidades --> Negócios |
| Resumo: | 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 with easily computable components. |
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