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◾ Solving the Black Scholes PDE
| Content Provider | Scilit |
|---|---|
| Author | Davison, Matt |
| Copyright Year | 2014 |
| Description | In Chapter 22, we derived the Black Scholes partial dierential equation for a European call with strike K and expiry T, written on a stock price St that followed geometric Brownian motion with dri μ and volatility σ 2, in a world where the risk-free rate of interest was r. e PDE was ∂ ∂ σ ∂ ∂ ∂ ∂ C t S C S rS C S rC+ + − = 1 2 0 2 (23.1a) Together with the three conditions C t S t C S T S KS( , ) , lim ( , ) , ( , ) ,0 0 1 0= = = −→∞ ∆ Max( ) (23.1b) In this book at least, the only PDE we have learned to solve so far is the random walk or diusion PDE. Book Name: Quantitative Finance |
| Related Links | https://content.taylorfrancis.com/books/download?dac=C2010-0-49971-6&isbn=9780429194962&doi=10.1201/b16039-26&format=pdf |
| Ending Page | 307 |
| Page Count | 20 |
| Starting Page | 288 |
| DOI | 10.1201/b16039-26 |
| Language | English |
| Publisher | Informa UK Limited |
| Publisher Date | 2014-05-08 |
| Access Restriction | Open |
| Subject Keyword | Book Name: Quantitative Finance Black Scholes |
| Content Type | Text |
| Resource Type | Chapter |
