On analytical solutions of the Black-Scholes equation (Q1003861)
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| Language | Label | Description | Also known as |
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| English | On analytical solutions of the Black-Scholes equation |
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On analytical solutions of the Black-Scholes equation (English)
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4 March 2009
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This paper shows a theoretical way of finding the analytical solution of the Black-Scholes quation under a given terminal condition. The main technique is based on the Adomian approximate decomposition. The authors also claim its effectiveness to solve some other related problems in finance theory.
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Black-Scholes equation
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Adomian decomposition
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analytical solution
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