Monday, February 10, 2014

Laplace transformation method for the Black-Scholes equation


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Laplace transformation method for the Black-Scholes equation

arxiv.org/pdf/0901.4604
arXiv
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by H Lee - ‎2009 - ‎Cited by 8 - ‎Related articles
As stock markets have become more sophisticated, so have their products. ... pricing formula was derived by Black and Scholes, known as the Black-Scholes.
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    Partial Differential Equations and Diffusion Processes - Stanford ...

    math.stanford.edu/~ryzhik/STANFORD/STANF227.../notes227-09.pdf
    by J Nolen - ‎Cited by 5 - ‎Related articles
    even though heat transfer and the fluctuation of stock prices are very different .... smooth functions that satisfy the Laplace equation (2.8) for all (x, y) in a given ...
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    black-scholes equation in laplace transform domain - Wilmott

    www.wilmott.com/pdfs/020310_skachkov.PDF
    by I Skachkov - ‎Cited by 8 - ‎Related articles
    be the Laplace transform of a value of plain vanilla call option (unbounded solution of a ... is an option on the underlying with the supported price due to the stock.
  • A beautiful model (of the stock market) » Oddhead Blog

    blog.oddhead.com/2010/.../a-beautiful-model-of-the-stock-mar...
    Mar 17, 2010 - It turns out that a Laplace distribution is a pretty good model of the stock market. The Laplace distribution is parametrized by its median u and its ...
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