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Examinando Artículos por Materia "Adomian decomposition method"
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Ítem European Call Option Pricing using the Adomian Decomposition Method(2014-01-01) Bohner, Martin; Freddy H. Marin sanchez; RodrÍguez, StefanÍa; Universidad EAFIT. Escuela de Ciencias; Modelado MatemáticoThis article explores the Adomian decomposition method applied to the pricing of European call options in a risk-neutral world with an asset that pays and one that does not pay dividends...Ítem Numerical Comparison Of Pricing Of European Call Options For Mean Reverting Processes(2013-02-01) Freddy H. Marin sanchez; Vargas, Camilo; Pinzon, Margarita; Universidad EAFIT. Escuela de Ciencias; Modelado MatemáticoWe propose a change of probability measure that allows to find a partial differential equation for valuing European call options on processes mean reversion, whose solution is approximated numerically by Adomian decomposition method.