Some properties of Legendre polynomials and an approximate solution of the Black-Scholes equation governing option pricing

DOI10.1134/S0012266115090050zbMath1330.35069OpenAlexW2161618425WikidataQ115251432 ScholiaQ115251432MaRDI QIDQ901881

V. L. Khatskevich

Publication date: 6 January 2016

Published in: Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0012266115090050

zbMATH Keywords

option execution price

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Series solutions to PDEs (35C10) Financial applications of other theories (91G80) Other special orthogonal polynomials and functions (33C47)

Related Items

Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options

Cites Work

• The Pricing of Options and Corporate Liabilities
• PASSPORT OPTIONS
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