CONSTRUCTION OF GREEN'S FUNCTIONS FOR THE BLACK-SCHOLES EQUATION

被引：0

作者：

Melnikov, Max Y. ^{[1
]}

Melnikov, Yuri A. ^{[2
]}

机构：

[1] Cumberland Univ, Labry Sch Business & Econ, Lebanon, TN 37087 USA

[2] Middle Tennessee State Univ, Dept Math Sci, Murfreesboro, TN 37132 USA

来源：

ELECTRONIC JOURNAL OF DIFFERENTIAL EQUATIONS | 2007年

关键词：

Black-Scholes equation; Green's function;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页数：14