Title of article :
A Nonlinear Option PricingModel Through the Adomian Decomposition Method
Author/Authors :
gonzález-gaxiola, oswaldo universidad autónoma metropolitana-cuajimalpa - departamento de matemáticas aplicadas y sistemas, Mexico , chávez, juan ruíz de universidad autónoma metropolitana-iztapalapa - departamento de matemáticas, Mexico , santiago, josé antonio universidad autónoma metropolitana-cuajimalpa - departamento de matemáticas aplicadas y sistemas, Mexico
Abstract :
Recently the liquidity of financial markets and transaction costs have become a topic of great interest in financial risk management. In this paper, a hypotetical nonlinear model of option pricing that occurs when the effects of market illiquidity and transaction costs are taken into account and an approximate solution is obtained through the Adomian decomposition method. Finally, two numerical examples are investigated to demonstrate the efficiency of our approach.
Keywords :
Option pricing , Nonlinear Black , Scholes equation , Illiquid markets · Adomian decomposition method , Adomian polynomials
Journal title :
International Journal Of Applied and Computational Mathematics
Journal title :
International Journal Of Applied and Computational Mathematics
