Journal of applied mathematics & informatics

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

  • Received : 2009.09.23
  • Accepted : 2009.10.27
  • Published : 2010.05.30
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Abstract

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.

Keywords

Acknowledgement

Supported by : Center of Excellence in Mathematics, Mahidol University

References

  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.