Reducing parabolic partial differential equations to canonical form

DOI10.1017/S0956792500001376zbMath0803.35063OpenAlexW2083650264MaRDI QIDQ4303186

John F. Harper

Publication date: 1994

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0956792500001376

zbMATH Keywords

fluid mechanicsBlack-Scholes equationtheory of finance

Mathematics Subject Classification ID

Transform methods (e.g., integral transforms) applied to PDEs (35A22) Second-order parabolic equations (35K10)

Related Items (3)

Interest rate risk premium and equity valuation ⋮ Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme. ⋮ An alternative approach to solving the Black-Scholes equation with time-varying parameters

Cites Work

• The Pricing of Options and Corporate Liabilities
• The flow at a rear stagnation point is eventually determined by exponentially small values of the velocity

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