On Analytical Solutions of the Black-Scholes Equation
Abstract
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.
Recommended Citation
Y. Zheng and M. Bohner, "On Analytical Solutions of the Black-Scholes Equation," Applied Mathematics Letters, Elsevier, Mar 2009.
The definitive version is available at https://doi.org/10.1016/j.aml.2008.04.002
Department(s)
Mathematics and Statistics
Sponsor(s)
National Science Foundation (U.S.)
Keywords and Phrases
Adomian decomposition; analytical solution; black-scholes equation
International Standard Serial Number (ISSN)
0893-9659
Document Type
Article - Journal
Document Version
Citation
File Type
text
Language(s)
English
Rights
© 2009 Elsevier, All rights reserved.
Publication Date
01 Mar 2009
