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

DOI10.12732/IJAM.V28I5.5MaRDI QIDQ5740985zbMATH OpenOpenAlexFDO

Authors O. González-Gaxiola, Juan Ruiz de Chávez

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

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

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Cited in

(4)

• A novel analytical technique for the solution of time-fractional Ivancevic option pricing model
• An appropriate approach to pricing European-style options with the Adomian decomposition method
• The adjoint method for the inverse problem of option pricing
• SOLVING THE IVANCEVIC OPTIONS PRICING MODEL WITH THE NUMERICAL METHOD SOME BLAISE-ABBO (SBA)

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