The Greek parameters of a continuous arithmetic Asian option pricing model via Laplace Adomian decomposition method

Compare Adomian Decomposition Method and Laplace Decomposition Method for Burger's-Huxley and Burger's-Fisher equations

In this paper, Adomian decomposition method (ADM) and Laplace decomposition method (LDM) used to obtain series solutions of Burgers-Huxley and Burgers-Fisher Equations. In ADM the algorithm is illustrated by studying an initial value problem and LDM is based on the application of Laplace transform to nonlinear partial differential equations. In ADM only few terms of the expansion are required t...

Pricing the Asian Call Option

Background material on measure-theoretic probability theory and stochastic calculus is provided in order to clarify notation and inform the reader unfamiliar with these concepts. These fields are then employed in exploring two distinct but related approaches to fair option pricing: developing a partial differential equation whose solution, given specified boundary conditions, is the desired fai...

Pricing Asian options via Fourier and Laplace transforms

Solution of the epidemic model by Adomian decomposition method

In this article the problem of the spread of a non-fatal disease in a population which is assumed to have constant size over the period of the epidemic is considered. Mathematical modeling of the problem leads to a system of non-linear ordinary differential equations. Adomian decomposition method is employed to solve this system of nonlinear ordinary differential equations, the problem of conve...

Numerical Approximation of Option Pricing Model under Jump Diffusion Using the Laplace Transformation Method

We propose a LT (Laplace transformation) method for solving the PIDE (partial integro-differential equation) arising from the financial mathematics. An option model under a jump-diffusion process is given by a PIDE, whose non-local integral term requires huge computational costs. In this work, the PIDE is transformed into a set of complex-valued elliptic problems by taking the Laplace transform...