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BLACK-SCHOLES vs. KASSOUF OPTION PRICING: AN EMPIRICAL COMPARISON

✍ Scribed by Dan W. French

Book ID
111105113
Publisher
John Wiley and Sons
Year
1983
Tongue
English
Weight
569 KB
Volume
10
Category
Article
ISSN
0306-686X

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πŸ“œ SIMILAR VOLUMES

Explicit solution of Black–Scholes optio
Explicit solution of Black–Scholes option pricing mathematical models with an impulsive payoff function
✍ R. Company; L. JΓ³dar; G. Rubio; R.J. Villanueva πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 293 KB

This paper deals with the construction of explicit solutions of the Black-Scholes equation with a weak payoff function. By using the Mellin transform of a class of weak functions a candidate integral formula for the solution is first obtained and then it is proved that it is a rigorous solution of t