An alternative approach to solving the Black-Scholes equation with time-varying parameters

Applied Mathematics Letters

Volumn 19, Issue 4, 2006, Pages 398-402

  Rodrigo, Marianito R ^a   Mamon, Rogemar S ^b  

^a INSTITUTO TECNOLÓGICO AUTÓNOMO DE MÉXICO   (Mexico)

^b BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Black Scholes; Mathematical modelling; Option pricing; Time varying parameters

Indexed keywords

MATHEMATICAL TRANSFORMATIONS; PARAMETER ESTIMATION; PARTIAL DIFFERENTIAL EQUATIONS;

BLACK-SCHOLES; MATHEMATICAL MODELING; OPTION PRICING; TIME-VARYING PARAMETERS;

TIME VARYING SYSTEMS;

EID: 31144432309     PISSN: 08939659     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.aml.2005.06.012     Document Type: Article

References (6)

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2. B. Øksendal Stochastic Differential Equations 6th edition 2003 Springer-Verlag
3. R. Merton Theory of rational option pricing Bell Journal of Management Sciences 4 1973 141 183
4. P. Wilmott, S. Howison, and J. Dewynne The Mathematics of Financial Derivatives 1999 Cambridge University Press
5. J. Harper Reducing parabolic partial differential equations to canonical form European Journal of Applied Mathematics 5 1994 159 164
6. P. Wilmott Derivatives: The Theory and Practise of Financial Engineering 1998 John Wiley & Sons