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Article
On Analytical Solutions of the Black-Scholes Equation
Applied Mathematics Letters
  • Yao Zheng
  • Martin Bohner, Missouri University of Science and Technology
Abstract

This work presents a theoretical analysis for the Black-Scholes equation. Given a terminal condition, the analytical solution of the Black-Scholes equation is obtained by using the Adomian approximate decomposition technique. The mathematical technique employed in this work also has significance in studying some other problems in finance theory.

Department(s)
Mathematics and Statistics
Sponsor(s)
National Science Foundation (U.S.)
Keywords and Phrases
  • Adomian decomposition,
  • analytical solution,
  • black-scholes equation
Document Type
Article - Journal
Document Version
Citation
File Type
text
Language(s)
English
Rights
© 2009 Elsevier, All rights reserved.
Publication Date
3-1-2009
Publication Date
01 Mar 2009
Citation Information
Yao Zheng and Martin Bohner. "On Analytical Solutions of the Black-Scholes Equation" Applied Mathematics Letters (2009) ISSN: 0893-9659
Available at: http://works.bepress.com/martin-bohner/68/