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

DOI10.3934/CPAA.2020032zbMATH Open1433.35162OpenAlexW2981187856WikidataQ126860832 ScholiaQ126860832MaRDI QIDQ2286191FDOQ2286191

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

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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)

Cites Work

• Title not available (Why is that?)
• An integral equation representation approach for valuing Russian options with a finite time horizon
• The pricing of vulnerable options with double Mellin transforms
• QUANTO LOOKBACK OPTIONS
• Title not available (Why is that?)

Cited In (6)

• AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
• An alternative method for analytical solutions of two-dimensional Black-Scholes-Merton equation
• On the multidimensional Black-Scholes partial differential equation
• Title not available (Why is that?)
• Burgers and Black–Merton–Scholes equations with real time variable and complex spatial variable
• Far field boundary conditions for Black-Scholes equations

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