On The Kernel of Black-Scholes Equation Related to the Risk Neutrality for Cash-or-Nothing Options

Amnuay Kananthai

Abstract


In this paper, we studied the Kernel or the elementary solution of the Black-Scholes Equation and we can relate such Kernel to the risk neutrality for 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|