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All Journal Hipotenusa : Journal of Mathematical Society
R. Gilles Bokolo
University of Kinshasa
Education Mathematics Other

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Analytical solution to the Black-Scholes Equation: Adomian Decomposition Method Versus Lie Algebraic Approach Tresor landu Ngoyi; R. Gilles Bokolo; Rostin Matendo Mabela
Hipotenusa : Journal of Mathematical Society Vol 4, No 1 (2022)
Publisher : Program Studi Tadris Matematika IAIN Salatiga

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18326/hipotenusa.v4i1.7183

Abstract

In this paper, we compare two relevant methods to find Analytical solution of the Black-Scholes Equation. First, we apply the Adomian Decomposition Method as in [2], to obtain a solution to the aforementioned equation with boundary condition for a European option. Secondly, we apply the Lie algebraic Approach for determining the solution as in [7]. Those two methods conducted us to investigate the thin line between the underlying results. Finally, we suggest a simple enhanced Due Diligence on both approaches.
Co-Authors Rostin Matendo Mabela Tresor landu Ngoyi