On the Parametric Interest of the Option Price of Stock from Black-Scholes Equation

Amnuay Kananthai, Somsak Chanaim, Chongkolnee Rungruang

Abstract


In this paper, we studied the option price of stock from the Black-Scholes equation and discovered some parameter $\lambda$ which is the generalizztion of the interest $r$. Such $\lambda$ is the first that named the parametric interest which is new the results. Morever we found that such $\lambda$ gives the conditions for the solution of the Black-Scholes equation which may be weak or strong solution.

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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|