Solutions of a class of partial differential equations with application to the Black-Scholes equation

DOI10.1016/J.AMC.2011.02.112zbMath1214.91146OpenAlexW2092495738WikidataQ115361632 ScholiaQ115361632MaRDI QIDQ544093

Bilal Chanane

Publication date: 14 June 2011

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

Full work available at URL: https://doi.org/10.1016/j.amc.2011.02.112

zbMATH Keywords

option pricingpartial differential equationsBlack-Scholes equation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• The decomposition method for linear, one-dimensional, time-dependent partial differential equations
• On analytical solutions of the Black-Scholes equation
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