Construction of Green's functions for the Black-Scholes equation
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Texas State University
2007-11-01
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| Series: | Electronic Journal of Differential Equations |
| Subjects: | |
| Online Access: | http://ejde.math.txstate.edu/Volumes/2007/153/abstr.html |