scientific article; zbMATH DE number 7534809

zbMath1487.91138MaRDI QIDQ5080630

Ekkarath Thailert, Amnuay Kananthai

Publication date: 31 May 2022

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/3097

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

spectrumvarianceexpected valueoption priceBlack-Scholes equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• On analytical solutions of the Black-Scholes equation
• Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function
• A new direct method for solving the Black-Scholes equation

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