✦ LIBER ✦
Explicit solution of Black–Scholes option pricing mathematical models with an impulsive payoff function
✍ Scribed by R. Company; L. Jódar; G. Rubio; R.J. Villanueva
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 293 KB
- Volume
- 45
- Category
- Article
- ISSN
- 0895-7177
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✦ Synopsis
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 the problem. Well known solutions of option pricing value problems are obtained as particular cases of the solution proposed here.