On the kernel of Black-Scholes equation related to the risk neutrality for cash-or-nothing options

MaRDI QIDQ4607744zbMATH OpenFDO

Authors Amnuay Kananthai

Publication date 14 March 2018

Full work available at URL http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/2696

zbMATH Keywords

Black-Scholes equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Heat equation (35K05)

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Cites work

• scientific article; zbMATH DE number 1940732 (Why is no real title available?)
• An Introduction to Financial Option Valuation

Cited in

(3)

• scientific article; zbMATH DE number 7246316 (Why is no real title available?)
• On the positive colored noise related to the option price from Black-Scholes equation
• On the kernel of the Black-Scholes equation in the form of white noise

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