On analytical solutions of the Black-Scholes equation

@article{Bohner2009OnAS,
  title={On analytical solutions of the Black-Scholes equation},
  author={Martin Bohner and Yao Zheng},
  journal={Appl. Math. Lett.},
  year={2009},
  volume={22},
  pages={309-313}
}
This work presents a theoretical analysis for the Black–Scholes equation. Given a terminal condition, the analytical solution of the Black–Scholes equation is obtained by using the Adomian approximate decomposition technique. The mathematical technique employed in this work also has significance in studying some other problems in finance theory. 

From This Paper

Topics from this paper.

Citations

Publications citing this paper.

References

Publications referenced by this paper.
Showing 1-10 of 10 references

Adomian decompositionmethod for solving the diffusion – convection – reaction equations

M. A. Abdou S. A. El-Wakil, A. Elhanbaly
Appl . Math . Comput . • 2006

Abdusalam, On modified Black–Scholes equation, Chaos Solitons Fractals

H.A.E. Ahmed
2004
View 1 Excerpt

On modified Black – Scholes equation

H. A. Abdusalam E. Ahmed
Chaos Solitons Fractals • 2004

The mathematics of finance, in: Brooks/Cole Series in Advanced Mathematics, Brooks/Cole

Joseph Stampfli, Victor Goodman
Pacific Grove, CA, • 2001
View 1 Excerpt

Transformation of series

George Adomian, Randolph Rach
Appl . Math . Lett . • 1991

A review of the decomposition method in applied mathematics

George Adomian
J. Math. Anal. Appl • 1988
View 1 Excerpt

Mamon , An alternative approach to solving the Black – Scholes equation with time - varying parameters

Marianito R. Rodrigo, S Rogemar
Appl . Math . Lett .

Similar Papers

Loading similar papers…