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On analytical solutions of the Black–Scholes equation

✍ Scribed by Martin Bohner; Yao Zheng

Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
372 KB
Volume
22
Category
Article
ISSN
0893-9659

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✦ Synopsis

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.

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