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

DOI10.3934/CPAA.2020032MaRDI QIDQ2286191zbMATH OpenOpenAlexWikidataFDO

Authors Junkee Jeon, Jehan Oh

Publication date 10 January 2020

Published in Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/cpaa.2020032

zbMATH Keywords

mixed boundary conditionparabolic partial differential equationspricing formulaanalytical representation(1+2)-dimensional Black-Scholes equationsdouble-Mellin transformEuropean maximum-quanto look-back options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Initial-boundary value problems for second-order parabolic equations (35K20) Degenerate parabolic equations (35K65)

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Cites work

• scientific article; zbMATH DE number 5228515 (Why is no real title available?)
• scientific article; zbMATH DE number 3376145 (Why is no real title available?)
• An integral equation representation approach for valuing Russian options with a finite time horizon
• QUANTO LOOKBACK OPTIONS
• The pricing of vulnerable options with double Mellin transforms

Cited in

(6)

• An alternative method for analytical solutions of two-dimensional Black-Scholes-Merton equation
• Far field boundary conditions for Black-Scholes equations
• On the multidimensional Black-Scholes partial differential equation
• scientific article; zbMATH DE number 5652616 (Why is no real title available?)
• Burgers and Black–Merton–Scholes equations with real time variable and complex spatial variable
• AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM

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