Exact and numerical solution of Black--Scholes matrix equation

DOI10.1016/J.AMC.2003.11.018zbMath1089.91019OpenAlexW1997687707MaRDI QIDQ1764689

Xianqiang Yang

Publication date: 22 February 2005

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2003.11.018

zbMATH Keywords

Mellin transform

Mathematics Subject Classification ID

Related Items (1)

A Laplace transform finite difference method for the Black-Scholes equation

Cites Work

• Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
• Valuing American Options by Simulation: A Simple Least-Squares Approach
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