AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM (Q3421544): Difference between revisions
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Property / author: Q217337 / rank | |||
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Property / author: Rogemar S. Mamon / rank | |||
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Property / author: Marianito R. Rodrigo / rank | |||
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Property / author: Rogemar S. Mamon / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / cites work: Semigroup theory applied to options / rank | |||
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Property / cites work: A new direct method for solving the Black-Scholes equation / rank | |||
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Property / cites work: Q3786804 / rank | |||
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Property / cites work: Pricing perpetual options using Mellin transforms / rank | |||
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Property / cites work: An alternative approach to solving the Black-Scholes equation with time-varying parameters / rank | |||
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Property / full work available at URL: https://doi.org/10.1142/s0219530507000870 / rank | |||
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Property / OpenAlex ID: W2077235137 / rank | |||
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Latest revision as of 11:55, 30 July 2024
scientific article
Language | Label | Description | Also known as |
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English | AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM |
scientific article |
Statements
AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM (English)
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7 February 2007
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Mellin transform
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Black--Scholes PDE with time-dependent coefficients
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Black--Scholes kernel
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generalized put-call parity
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existence and uniqueness of option price
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