The asymptotic behavior of the solutions of the Black–Scholes equation as volatility σ→0+-Reference-Cited by-同舟云学术

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The asymptotic behavior of the solutions of the Black–Scholes equation as volatility σ→0+

Published:2019-08 Issue:3 Volume:78 Page:1037-1050
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Wang Shu,Yuan Fang

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference7 articles.

1. Control of the Black–Scholes equation;David;Comput. Math. Appl.,2017

2. The pricing of options and corporate liabilities;Black;J. Pol. Econ.,1973

3. Theory of rational option pricing;Merton;Bell J. Econ. Manag. Sci.,1973

4. Uncertain Volatility Methods-theory and Applications;Buff,2002

5. Futures and Other Derivatives;Hull John,2003

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