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

dc.creatorLUIS DANIEL BLANCO COCOM
dc.creatorANGEL GABRIEL ESTRELLA GONZALEZ
dc.creatorERIC JOSE AVILA VALES
dc.date2014-12-31
dc.date.accessioned2022-10-12T20:21:49Z
dc.date.available2022-10-12T20:21:49Z
dc.identifierhttp://redi.uady.mx:8080/handle/123456789/536
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/4131458
dc.descriptionThe 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.formatapplication/pdf
dc.languageeng
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightshttp://creativecommons.org/licenses/by-nc-nd/4.0
dc.sourceurn:issn:2227-4324
dc.subjectinfo:eu-repo/classification/cti/1
dc.subjectinfo:eu-repo/classification/cti/12
dc.subjectAdomian decomposition method
dc.subjectBlack-scholes equation
dc.subjectCall option
dc.subjectPut option
dc.titleSolution of the black-scholes equation via the Adomian decomposition method
dc.typeinfo:eu-repo/semantics/article
dc.coverageGeneración de conocimiento
dc.audienceresearchers


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