On the ε-approximation of the solution of the Black-Scholes equation
In this paper, we study the well known equation named the Black-Scholes equation. Normally, it is so complicate to find the solution of the Black-Scholes equation which is the option prices directly. But in this work we use the εapproximation to find such option prices and also obtained the interest...
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th-cmuir.6653943832-527262018-09-04T09:31:04Z On the ε-approximation of the solution of the Black-Scholes equation Amnuay Kananthai Mathematics In this paper, we study the well known equation named the Black-Scholes equation. Normally, it is so complicate to find the solution of the Black-Scholes equation which is the option prices directly. But in this work we use the εapproximation to find such option prices and also obtained the interesting kernel related to the interest rate r and the volatility fi of the stock s. Moreover, we obtained the boundedness of the option price in the Sobolev space by giving the suitable initial condition on such option price. © 2013 by the Mathematical Association of Thailand. All rights reserved. 2018-09-04T09:31:04Z 2018-09-04T09:31:04Z 2013-12-01 Journal 16860209 2-s2.0-84885461717 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84885461717&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/52726 |
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Mathematics |
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Mathematics Amnuay Kananthai On the ε-approximation of the solution of the Black-Scholes equation |
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In this paper, we study the well known equation named the Black-Scholes equation. Normally, it is so complicate to find the solution of the Black-Scholes equation which is the option prices directly. But in this work we use the εapproximation to find such option prices and also obtained the interesting kernel related to the interest rate r and the volatility fi of the stock s. Moreover, we obtained the boundedness of the option price in the Sobolev space by giving the suitable initial condition on such option price. © 2013 by the Mathematical Association of Thailand. All rights reserved. |
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Journal |
| author |
Amnuay Kananthai |
| author_facet |
Amnuay Kananthai |
| author_sort |
Amnuay Kananthai |
| title |
On the ε-approximation of the solution of the Black-Scholes equation |
| title_short |
On the ε-approximation of the solution of the Black-Scholes equation |
| title_full |
On the ε-approximation of the solution of the Black-Scholes equation |
| title_fullStr |
On the ε-approximation of the solution of the Black-Scholes equation |
| title_full_unstemmed |
On the ε-approximation of the solution of the Black-Scholes equation |
| title_sort |
on the ε-approximation of the solution of the black-scholes equation |
| publishDate |
2018 |
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https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84885461717&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/52726 |
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