Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function
DOI10.1016/J.MCM.2006.04.006zbMATH Open1135.91018OpenAlexW1976043164MaRDI QIDQ2471607FDOQ2471607
Authors: R. Company, L. Jódar, Gregorio Rubio, R.-J. Villanueva 
Publication date: 22 February 2008
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2006.04.006
Recommendations
- A new explicit formula for the solution of the Black-Merton-Scholes equation
- Exact and numerical solution of Black--Scholes matrix equation
- AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
- On the Solution of the Black-Sholes Equation with Jump Process
- On analytical solution of the Black-Scholes equation by the first integral method
Derivative securities (option pricing, hedging, etc.) (91G20) Stability theory of functional-differential equations (34K20)
Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- Option pricing when underlying stock returns are discontinuous
- Option pricing with Mellin transforms
- The Mathematics of Financial Derivatives
- Title not available (Why is that?)
- Title not available (Why is that?)
- Quantitative modeling of derivative securities. From theory and practice
- A new direct method for solving the Black-Scholes equation
- THE SCATTERING OF LONG ELECTROMAGNETIC WAVES
Cited In (12)
- On impulsive hyperbolic differential inclusions with nonlocal initial conditions
- AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
- General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs
- Numerical treatment of stochastic models used in statistical systems and financial markets
- PDTM approach to solve Black Scholes equation for powered ML-payoff function
- Exact and numerical solution of Black--Scholes matrix equation
- Symmetry analysis of the option pricing model with dividend yield from financial markets
- Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
- Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation
- On some properties of the option price related to the solution of the Black-Scholes equation
- A new explicit formula for the solution of the Black-Merton-Scholes equation
- BSM model for ML-payoff function through PDTM
This page was built for publication: Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2471607)
