On the spectrum of the option price related to the barrier of the exotic option from the Black-Scholes equation

MaRDI QIDQ3454069zbMATH OpenFDO

Authors Amnuay Kananthai, T. Dumrongpokaphan

Publication date 2 December 2015

Full work available at URL http://www.ceser.in/ceserp/index.php/ijamas/article/view/3743

zbMATH Keywords

Black-Scholes equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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• On the spectrum of the option price of stock markets from the Black-Scholes equation
• On some properties of the option price related to the solution of the Black-Scholes equation

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