Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function (Q2471607)
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scientific article; zbMATH DE number 5239573
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| English | Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function |
scientific article; zbMATH DE number 5239573 |
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Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function (English)
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22 February 2008
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In this paper solutions of Black-Scholes (BS) equation with boundary condition given by a weak function (not necessary a function) are derived. Weak functions are defined. A special class of weak function M(c1,c2) is introduced and studied. Mellin transform is used to solve BS equation with boundary condition given by an element of M(c1,c2). A proof is given that the obtained solution is rigorous. Several interesting examples are given.
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option pricing
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Black Scholes model
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Mellin transform
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generalized function
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0.8177198767662048
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0.8093277812004089
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0.8061758279800415
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0.7931610345840454
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0.7910089492797852
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