A new direct method for solving the Black-Scholes equation

DOI10.1016/J.AML.2002.12.016MaRDI QIDQ2484571zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 1 August 2005

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2002.12.016

zbMATH Keywords

Mellin transform

Mathematics Subject Classification ID

Transform methods (e.g., integral transforms) applied to PDEs (35A22) Nonlinear parabolic equations (35K55)

Cites work

• scientific article; zbMATH DE number 4050083 (Why is no real title available?)
• scientific article; zbMATH DE number 3205524 (Why is no real title available?)
• Quantitative modeling of derivative securities. From theory and practice
• Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
• The Mathematics of Financial Derivatives
• Valuing American options by simulation: a simple least-squares approach

Cited in

(21)

• On analytical solutions of the Black-Scholes equation
• A combined compact difference scheme for option pricing in the exponential jump-diffusion models
• Jumping hedges on the strength of the Mellin transform
• Removing non-smoothness in solving Black-Scholes equation using a perturbation method
• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
• Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function
• Lattice Boltzmann method for the generalized Black-Scholes equation
• A new method of option pricing based on Black-Scholes model
• Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
• AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
• Determination of a source term in a partial differential equation arising in finance
• scientific article; zbMATH DE number 5620944 (Why is no real title available?)
• On some properties of the option price related to the solution of the Black-Scholes equation
• Approximate solution of fractional Black-Scholes European option pricing equation by using ETHPM
• Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption
• On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics
• Pricing vulnerable options under jump diffusion processes using double Mellin transform
• A Mellin transform approach to pricing barrier options under stochastic elasticity of variance
• Evaluations of European options and stop-loss premiums via the Laplace transform inversion
• A Laplace transform finite difference method for the Black-Scholes equation

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