The Black-Merton-Scholes equation plays a fundamental role in the option pricing theory. Our main purpose is to derive an explicit formula for its solu- tion, using simple tools from operator semigroups. The paper includes also an expository treatment of how the equation arises.
A new explicit formula for the solution of the Black-Merton-Scholes equation
MININNI, Rosamaria;ROMANELLI, Silvia
2008-01-01
Abstract
The Black-Merton-Scholes equation plays a fundamental role in the option pricing theory. Our main purpose is to derive an explicit formula for its solu- tion, using simple tools from operator semigroups. The paper includes also an expository treatment of how the equation arises.File in questo prodotto:
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