Solving the Ivancevic option pricing model using the Elsaki-Adomian decomposition method

DOI10.12732/IJAM.V28I5.5zbMATH Open1344.91018OpenAlexW4246847700MaRDI QIDQ5740985FDOQ5740985

Juan Ruiz de Chávez, O. González-Gaxiola

Publication date: 20 July 2016

Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8e09e387dae70e19199b3f56a30618ab6b47378d

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zbMATH Keywords

Adomian polynomialsAdomian decomposition method (ADM)Elsaki transformIvancevic option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral transforms (65R10)

Cited In (3)

• The adjoint method for the inverse problem of option pricing
• A novel analytical technique for the solution of time-fractional Ivancevic option pricing model
• SOLVING THE IVANCEVIC OPTIONS PRICING MODEL WITH THE NUMERICAL METHOD SOME BLAISE-ABBO (SBA)

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