Adomian分解下非齐次Black-Scholes方程的算子级数解

丁会敏; 何传江; 殷涛

doi:10.7540/j.ynu.20130165

丁会敏, 何传江, 殷涛. Adomian分解下非齐次Black-Scholes方程的算子级数解[J]. 云南大学学报(自然科学版), 2013, 35(6): 738-743. doi: 10.7540/j.ynu.20130165

引用本文:

丁会敏, 何传江, 殷涛. Adomian分解下非齐次Black-Scholes方程的算子级数解[J]. 云南大学学报(自然科学版), 2013, 35(6): 738-743. doi: 10.7540/j.ynu.20130165

DING Hui-min, HE Chuan-jiang, YIN Tao. An operator series solution of non-homogeneous Black-Scholes equation based on Adomian decomposition[J]. Journal of Yunnan University: Natural Sciences Edition, 2013, 35(6): 738-743. DOI: 10.7540/j.ynu.20130165

Citation:

DING Hui-min, HE Chuan-jiang, YIN Tao. An operator series solution of non-homogeneous Black-Scholes equation based on Adomian decomposition[J]. Journal of Yunnan University: Natural Sciences Edition, 2013, 35(6): 738-743. DOI: 10.7540/j.ynu.20130165

Adomian分解下非齐次Black-Scholes方程的算子级数解

An operator series solution of non-homogeneous Black-Scholes equation based on Adomian decomposition

摘要

摘要: 研究了带有终值条件并且系数依赖时间和空间的非齐次Black-Scholes方程.在Adomian分解法的基础上,得到它的含有算子形式迭代的一般级数解.

Abstract: We investigate the non-homogeneous Black-Scholes equation with a given final value condition,in which the coefficients are time and space-dependent.A general operator series solution for this final value problem is obtained via Adomian decomposition.It generalized the main result in the literature.

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