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

DOI10.1016/J.MCM.2006.04.006MaRDI QIDQ2471607zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Mellin transformoption pricinggeneralized functionBlack Scholes model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stability theory of functional-differential equations (34K20)

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Cites work

• scientific article; zbMATH DE number 48218 (Why is no real title available?)
• scientific article; zbMATH DE number 54305 (Why is no real title available?)
• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• A new direct method for solving the Black-Scholes equation
• Option pricing when underlying stock returns are discontinuous
• Option pricing with Mellin transforms
• Quantitative modeling of derivative securities. From theory and practice
• THE SCATTERING OF LONG ELECTROMAGNETIC WAVES
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

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

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