Adomian decomposition method for analytical solution
of a continuous arithmetic Asian option pricing model

dc.creator	Edeki, S.O., Akinlabi, G. O., Gonzalez-Gaxiola, O.
dc.date	2019
dc.date.accessioned	2025-04-04T20:30:53Z
dc.description	One of the main issues of concern in financial mathematics has been a viable method for obtaining analytical solutions of the Black-Scholes model associated with Arithmetic Asian Option (AAO). In this paper, a proposed semi-analytical technique: Adomian Decomposition Method (ADM) is applied for the first time, for analytical solution of a continuous arithmetic Asian option model. The ADM gives the solution in explicit form with few iterations. The computational work involved is less. However, high level of accuracy is not neglected. The obtained solution conforms with those of Rogers and Shi (J. of Applied Probability 32: 1995, 1077-1088), and Elshegmani and Ahmad (ScienceAsia, 39S: 2013, 67–69). Thus, the proposed method is highly recommended for analytical solution of other versions of Asian option pricing models such as the geometric form for puts and calls, even in their time-fractional forms.
dc.format	application/pdf
dc.identifier	http://eprints.covenantuniversity.edu.ng/15897/
dc.identifier.uri	https://repository.covenantuniversity.edu.ng/handle/123456789/45842
dc.language	en
dc.subject	QA Mathematics
dc.title	Adomian decomposition method for analytical solution of a continuous arithmetic Asian option pricing model
dc.type	Article

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