SOLVING THE IVANCEVIC OPTION PRICING MODEL USING THE ELSAKI-ADOMIAN DECOMPOSITION METHOD

DOI10.12732/IJAM.V28I5.5zbMath1344.91018OpenAlexW4246847700MaRDI QIDQ5740985

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

zbMATH Keywords

Adomian polynomialsAdomian decomposition method (ADM)Elsaki transformIvancevic option pricing

Mathematics Subject Classification ID

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

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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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