EXPLICIT SOLUTION OF THE BLACK-SCHOLES EQUATION USING ADM

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Published: 2015-12-12

Page: 210-214


M. FAZLI AGHDAEI

Department of Mathematics, Payame Noor University, P.O.Box 19395-3697, Tehran, Iran.

JALIL MANAFIAN *

Department of Applied Mathematics, Faculty of Mathematical Science, University of Tabriz, Tabriz, Iran.

SHIVA ALIZADEH

Department of Applied Mathematics, Faculty of Mathematical Science, University of Tabriz, Tabriz, Iran.

*Author to whom correspondence should be addressed.


Abstract

In this article, the Adomian approximate decomposition techique is applied to solve Black-Scholes equation. Based on the Adomian approximate decomposition method, a scheme is developed to obtain the approximate solution of the Black-Scholes equation. The solution of the studied model is calculated in the form of convergent series with easily computable components. Application of this method is easy, accurate approximation obtains for the given problem and it does not need high volume of calculations. It is shown that the Adomian decomposition method, with the help of matlab software, provides a straightforward and powerful mathematical tool for solving nonlinear problmes.

Keywords: Adomian approximate decomposition;, Black-Scholes equation.


How to Cite

AGHDAEI, M. F., MANAFIAN, J., & ALIZADEH, S. (2015). EXPLICIT SOLUTION OF THE BLACK-SCHOLES EQUATION USING ADM. Asian Journal of Mathematics and Computer Research, 10(3), 210–214. Retrieved from https://ikprress.org/index.php/AJOMCOR/article/view/289

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