The asymptotic behavior of the solutions of the Black-Scholes equation as volatility \(\sigma\rightarrow 0^+\)

DOI10.1016/j.camwa.2019.03.028zbMath1442.35174OpenAlexW2934215520MaRDI QIDQ2203171

Fang Yuan, Shu Wang

Publication date: 5 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.03.028

zbMATH Keywords

asymptotic behaviorvolatilityBlack-Scholes equation

Mathematics Subject Classification ID

Singular perturbations in context of PDEs (35B25) Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Uncertain volatility models -- theory and application
• Control of the Black-Scholes equation
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