Exact Analytical Solution of Ivancevic Options Pricing Model (IOPM) or Schrodinger's Equation via ADM and SBA Methods
Kamate Adama
Département de Mathématiques, Université Joseph KI-ZERBO, Burkina Faso.
Pare Daouda
Département de Mathématiques, Université Joseph KI-ZERBO, Burkina Faso.
Mouyedo Loufouilou Justin
Département de Mathématiques, Université Marien M'Gouabi, Congo Brazzaville.
Youssouf Pare
Département de Mathématiques, Université Joseph KI-ZERBO, Burkina Faso.
*Author to whom correspondence should be addressed.
Abstract
This paper is devoted to the study of the general equation of the Ivancevic option pricing model (IOPM) or Schrodinger’s equation and to determine its analytical solution via the methods of numerical analysis ADM and SBA. The Ivancevic option pricing model is an adaptive wave model that is a nonlinear wave alternative to the standard Black-Scholes option pricing model, it is also a model that links quantum mechanics and financial mathematics.
Keywords: Ivancevic or Shrodinger model, Adomian Method (ADM), SBA method, Succecive approxi- mations