Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function (Q2471607)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function |
scientific article |
Statements
Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function (English)
0 references
22 February 2008
0 references
In this paper solutions of Black-Scholes (BS) equation with boundary condition given by a weak function (not necessary a function) are derived. Weak functions are defined. A special class of weak function M(c1,c2) is introduced and studied. Mellin transform is used to solve BS equation with boundary condition given by an element of M(c1,c2). A proof is given that the obtained solution is rigorous. Several interesting examples are given.
0 references
option pricing
0 references
Black Scholes model
0 references
Mellin transform
0 references
generalized function
0 references
