On the ϵ-Approximation of the Solution of the Black-Scholes Equation

Amnuay Kananthai

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Abstract

In this paper, we study the well known equation named the Black-Scholes equation. Normally, it is so complicate to find the solution of the Black-Scholes equation which is the option prices directly. But in this work we use the ϵ-approximation to find such option prices and also obtained the interesting kernel related to the interest rate  r and the volatility of the stock s. Moreover, we obtained the boundedness of the option price in the Sobolev space by giving the suitable initial condition on such option price.

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Published

2013-12-01

How to Cite

Team, S. (2013). On the ϵ-Approximation of the Solution of the Black-Scholes Equation: Amnuay Kananthai. Thai Journal of Mathematics, 11(3), 601–609. Retrieved from https://thaijmath2.in.cmu.ac.th/index.php/thaijmath/article/view/400

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