The wave-equivalent of the Black–Scholes option price: an interpretation
✍ Scribed by Emmanuel Haven
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 164 KB
- Volume
- 344
- Category
- Article
- ISSN
- 0378-4371
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📜 SIMILAR VOLUMES
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
A model for option pricing of a (γ , 2H)-fractional Black-Merton-Scholes equation driven by the dynamics of a stock price S(t) satisfying (dS , where B H (t) is a fractional Brownian motion with Hurst exponent H ∈ (0, 1), is established. We obtain the explicit option pricing formulas for the Europe