Exact and numerical solution of Black–Scholes matrix equation |
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| Authors: | J. C. Cort s, L. J dar, R. Sala,P. Sevilla-Peris |
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| Affiliation: | Instituto de Matemática Multidisciplinar, Universidad Politécnica de Valencia, Edificio I 3, Segundo, P.O. Box 22.012, Valencia 46071, Spain |
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| Abstract: | In this paper a new method for solving Black–Scholes equation is proposed. The approach is based on the Mellin transform. A numerical procedure for the approximation of the solution is given. |
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| Keywords: | Black– Scholes equation Mellin transform |
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