Article ID Journal Published Year Pages File Type
9507123 Applied Mathematics and Computation 2005 7 Pages PDF
Abstract
In this paper a new method for solving Black-Scholes equation is proposed. The approach is based on the Mellin transform. A numerical procedure for the approximation of the solution is given.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Preview
Exact and numerical solution of Black-Scholes matrix equation
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