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

Amnuay Kananthai


In this paper, we studied the Kernel or the elementary solution ofthe Black-Scholes Equation and we can relate such Kernel to the risk neutralityfor cash-or-nothing option. We obtained interesting new results.


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The Thai Journal of Mathematics organized and supported by The Mathematical Association of Thailand and Thailand Research Council and the Center for Promotion of Mathematical Research of Thailand (CEPMART).

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|ISSN 1686-0209|