The price of a lookback option as the solution of a boundary-value problem for the heat equation (Q1037040)
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scientific article; zbMATH DE number 5633004
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The price of a lookback option as the solution of a boundary-value problem for the heat equation |
scientific article; zbMATH DE number 5633004 |
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The price of a lookback option as the solution of a boundary-value problem for the heat equation (English)
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13 November 2009
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lookback option
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Black-Scholes-Merton model
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parabolic PDE
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boundary value problem
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Laplace transform
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