Analytical solution to the Black-Scholes Equation: Adomian Decomposition Method Versus Lie Algebraic Approach

Tresor landu Ngoyi, R. Gilles Bokolo, Rostin Matendo Mabela

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.

Keywords


Black-Scholes equation; Adomian Decomposition Method; Lie Algebraic Approach; Symmetry analysis.

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References


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DOI: https://doi.org/10.18326/hipotenusa.v4i1.7183

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