scholarly journals Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries

2020 ◽  
Vol 13 (10) ◽  
pp. 2841-2851
Author(s):  
Rehana Naz ◽  
◽  
Imran Naeem ◽  
Keyword(s):  
Exact Solutions ◽  
Time Dependent ◽  
Potential Symmetries ◽  
Black Scholes Model ◽  
Black Scholes

Exact solutions via invariant approach for Black-Scholes model with time-dependent parameters

2018 ◽  
Vol 41 (12) ◽  
pp. 4417-4427 ◽  
Author(s):  
Rehana Naz ◽  
Andrew Gratien Johnpillai
Keyword(s):  
Exact Solutions ◽  
Time Dependent ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Invariant Approach

AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM

2007 ◽  
Vol 05 (01) ◽  
pp. 51-66 ◽  
Author(s):  
MARIANITO R. RODRIGO ◽  
ROGEMAR S. MAMON
Keyword(s):  
Existence And Uniqueness ◽  
Mellin Transform ◽  
Formal Solution ◽  
Option Price ◽  
Contingent Claims ◽  
Time Dependent ◽  
European Option ◽  
Equation Problem ◽  
Black Scholes Model ◽  
Black Scholes

In this article, we use a Mellin transform approach to prove the existence and uniqueness of the price of a European option under the framework of a Black–Scholes model with time-dependent coefficients. The formal solution is rigorously shown to be a classical solution under quite general European contingent claims. Specifically, these include claims that are bounded and continuous, and claims whose difference with some given but arbitrary polynomial is bounded and continuous. We derive a maximum principle and use it to prove uniqueness of the option price. An extension of the put-call parity which relates the aforementioned two classes of claims is also given.

Can the Black-Scholes Model Survive under Transaction Costs? An Affirmative Answer

2008 ◽  
Author(s):  
Michal Czerwonko ◽  
Stylianos Perrakis
Keyword(s):  
Transaction Costs ◽  
Affirmative Answer ◽  
Black Scholes Model ◽  
Black Scholes

Exact solutions for time-dependent phenomena in quantum mechanics

1994 ◽  
Vol 236 (6) ◽  
pp. 331-393 ◽  
Author(s):  
M Kleber
Keyword(s):  
Quantum Mechanics ◽  
Exact Solutions ◽  
Time Dependent
Sign in / Sign up

Export Citation Format

Share Document