\((1+2)\)-dimensional Black-Scholes equations with mixed boundary conditions (Q2286191)

This paper deals with the partial differential equation problem: \begin{multline*} \frac{\partial V(t,x,y)}{\partial t}+\frac{\sigma_{x}^2}{2}x^2\frac{\partial^2 V(t,x,y)}{\partial x^2}+\frac{\sigma_{y}^2}{2}x^2\frac{\partial^2 V(t,x,y)}{\partial y^2}+\rho\sigma_{x}\sigma_{y}xy\frac{\partial^2 V(t,x,y)}{\partial x\partial y}\\ +r_{x}x\frac{\partial V(t,x,y)}{\partial x}+r_{y}y\frac{\partial V(t,x,y)}{\partial y}-rV(t,x,y)=0, \end{multline*} \(V(T,x,y)=h(x,y)\), \(\frac{\partial V(t,x,1)}{\partial y}=V(t,x,1)\) on the domain \(\{(t,x,y)\mid 0\le t<T, 0<x<\infty, 0<y<1\}\). Using the double Mellin transform, the authors derive an analytical representation for the solution of considered general \((1+2)\)-dimensional Black-Scholes equation with mixed boundary conditions and obtain a pricing formula of European maximum-quanto look-back options.