Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function (Q2471607)

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.