Journal of applied mathematics & informatics

한국전산응용수학회 (The Korean Society for Computational and Applied Mathematics)
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ON THE PARAMETIC INTEREST OF THE BLACK-SCHOLES EQUATION

  • 투고 : 2009.09.23
  • 심사 : 2009.10.27
  • 발행 : 2010.05.30
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초록

We have discovered some parametics $\lambda$ in the Black-Scholes equation which depend on the interest rate $\gamma$ and the Volatility $\sigma$ and later is named the parametic interest. On studying the parametic interest $\lambda$, we found that such $\lambda$ gives the sufficient condition for the existence of solutions of the Black-Scholes equation which is either weak or strong solutions.

키워드

과제정보

연구 과제 주관 기관 : Center of Excellence in Mathematics, Mahidol University

참고문헌

  1. M. Baxter and A. Rennie, Financial Calculus, Cambridge University Press, New York, 1996.
  2. A. H. Zemanian, Distribution Theory and Transform Analysis, McGraw-Hill, 1965
  3. A. Kananthai, The distribution solutions of the third order Euler equation, Southeast Asia Bulletin of Mathematics 23(1999), 627-631.