On Analytical Solutions of the Black-Scholes Equation
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.
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 http://dx.doi.org/10.1016/j.aml.2008.04.002
Mathematics and Statistics
National Science Foundation (U.S.)
Keywords and Phrases
Adomian decomposition; analytical solution; black-scholes equation
Article - Journal
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