On analytical solutions of the Black-Scholes equation
type: Item
instance of: scholarly article
title: On analytical solutions of the Black-Scholes equation
zbMATH Open document ID: 1159.91014
author: Yao Zheng
author: Martin Bohner
published in: Applied Mathematics Letters
publication date: 2009-03-04T00:00:00Z
review text: This paper shows a theoretical way of finding the analytical solution of the Black-Scholes quation under a given terminal condition. The main technique is based on the Adomian approximate decomposition. The authors also claim its effectiveness to solve some other related problems in finance theory.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5523291
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: Adomian decomposition
zbMATH Keywords: analytical solution
reviewed by: Mingshu Peng
MaRDI profile type: Publication
full work available at URL: j.aml.2008.04.002
OpenAlex ID: W2081896369
cites work: Stochastic systems
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cites work: Q4406990
DOI: 10.1016/J.AML.2008.04.002
description: scientific article; zbMATH DE number 5523291