A new direct method for solving the Black-Scholes equation

نویسندگان

  • Lucas Jódar
  • P. Sevilla-Peris
  • Juan Carlos Cortés
  • R. Sala
چکیده

Using the Mellin transform a new method for solving the Black-Scholes equation is proposed. Our approach does not require either variable transformations or solving diffusion equations.

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عنوان ژورنال:
  • Appl. Math. Lett.

دوره 18  شماره 

صفحات  -

تاریخ انتشار 2005