Title

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.

Department(s)

Mathematics and Statistics

Sponsor(s)

National Science Foundation (U.S.)

Keywords and Phrases

Adomian decomposition; analytical solution; black-scholes equation

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2009 Elsevier, All rights reserved.


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