The Black-Scholes partial differential equation is a very well-known model for pricing European call options. The purpose of this paper is to solve the Black-Scholes equation using the Sumudu decomposition method. This method is a combination of the Adomian decomposition method and Sumudu transform which is able to effectively and easily solve differential equations without discretization, linearization or pertrubation. Two numerical examples are presented in this paper. The results show that the Sumudu decomposition method is an efficient and reliable method for solving the Black-Scholes equation.
Sumudu Decomposition Method for Black-Scholes Option Pricing Equation
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