Applications to give an analytical solution to the Black Scholes equation

DOI10.1080/10652469.2018.1555158zbMath1412.35336OpenAlexW2905194629WikidataQ128787561 ScholiaQ128787561MaRDI QIDQ4646665

Norbert Südland, Jörg Volkmann, Dinesh Kumar

Publication date: 14 January 2019

Published in: Integral Transforms and Special Functions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10652469.2018.1555158

zbMATH Keywords

Laplace transformMellin transformFokker Planck equationDirac delta functionAleph functionBlack Scholes equation

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Methods of ordinary differential equations applied to PDEs (35A24) Fractional partial differential equations (35R11) Fokker-Planck equations (35Q84)

Related Items (2)

Application of fractional operators in modelling for charge carrier transport in amorphous semiconductor with multiple trapping ⋮ Unnamed Item

Cites Work

• The Pricing of Options and Corporate Liabilities
• Generalized fractional calculus of the aleph-function involving a general class of polynomials
• A note on the comparison between Laplace and Sumudu transforms
• Lie symmetry analysis of differential equations in finance
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