Construction of Green's functions for the Black-Scholes equation
Date
2007-11-14
Authors
Melnikov, Max Y.
Melnikov, Yuri A.
Journal Title
Journal ISSN
Volume Title
Publisher
Texas State University-San Marcos, Department of Mathematics
Abstract
A technique is proposed for the construction of Green's functions for terminal-boundary value problems of the Black-Scholes equation. The technique permits an application to a variety of problems that vary by boundary conditions imposed. This is possible by extension of an approach that was earlier developed for partial differential equations in applied mechanics. The technique is based on the method of integral Laplace transform and the method of variation of parameters. It provides closed form analytic representations for the constructed Green's functions.
Description
Keywords
Black-Scholes equation, Green's function
Citation
Melnikov, M. Y., & Melnikov, Y. A. (2007). Construction of Green's functions for the Black-Scholes equation. <i>Electronic Journal of Differential Equations, 2007</i>(153), pp. 1-14.
Rights
Attribution 4.0 International