On analytical solution of the Black-Scholes equation by the first integral method

MaRDI QIDQ2806727zbMATH OpenFDO

Authors Farshid Mehrdoust, Mohammad Mirzazadeh

Publication date 18 May 2016

Published in Scientific Bulletin. Series A. Applied Mathematics and Physics. Politehnica University of Bucharest (Search for Journal in Brave)

zbMATH Keywords

option pricingfirst integral methodBlack-Scholes equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

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Cited in

(14)

• An alternative method for analytical solutions of two-dimensional Black-Scholes-Merton equation
• The exact traveling wave solutions of a class of generalized Black-Scholes equation
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• A new explicit formula for the solution of the Black-Merton-Scholes equation
• Analytical solutions for the Black-Scholes equation
• Solving the Ivancevic pricing model using the He's frecuency amplitude formulation
• On analytical solutions of the Black-Scholes equation
• Numerical solution of the Black-Scholes partial differential equation for the option pricing model using the ADM-Kamal method
• On the approximation of the Black and Scholes call function
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