期刊名称：IAENG International Journal of Computer Science
印刷版ISSN：1819-656X
电子版ISSN：1819-9224
出版年度：2019
卷号：46
期号：4
页码：707-712
出版社：IAENG - International Association of Engineers
摘要：Black-Scholes partial differential equation is a verywell-known model for pricing European option with the underlyingfinancial assets being the stock price. The combinationof the Adomian decomposition method and Laplace transformis called the Laplace-Adomian decomposition method. Thismethod is effective and easy to solve ordinary or partialdifferential equations. Therefore, the purpose of this paper isto find the solution to the Black-Scholes equation using theLaplace-Adomian decomposition method (LADM). The resultsshow that LADM is able and powerful to solve the Black-Scholesequation. Furthermore, the solution obtained is used to builda call and put option price model. The numerical simulationshows that the proposed model is very useful for pricing optionproperly and accurately.
关键词：Black-Scholes equation; Adomian decomposistion;method; Laplace transform; call and put option
