Solutions of a class of partial differential equations with application to the Black-Scholes equation

Bilal Chanane

doi:10.1016/j.amc.2011.02.112

Solutions of a class of partial differential equations with application to the Black-Scholes equation

Bilal Chanane^*

^*Corresponding author for this work

King Fahd University of Petroleum & Minerals

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper we shall derive the solutions of a class of partial differential equations and its application to the Black-Scholes equation.

Original language	English
Pages (from-to)	7845-7850
Number of pages	6
Journal	Applied Mathematics and Computation
Volume	217
Issue number	19
DOIs	https://doi.org/10.1016/j.amc.2011.02.112
State	Published - 1 Jun 2011

Keywords

Black-Scholes equation
Option pricing
Partial differential equations

ASJC Scopus subject areas

Computational Mathematics
Applied Mathematics

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10.1016/j.amc.2011.02.112

Cite this

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title = "Solutions of a class of partial differential equations with application to the Black-Scholes equation",

abstract = "In this paper we shall derive the solutions of a class of partial differential equations and its application to the Black-Scholes equation.",

keywords = "Black-Scholes equation, Option pricing, Partial differential equations",

author = "Bilal Chanane",

year = "2011",

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doi = "10.1016/j.amc.2011.02.112",

language = "English",

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AB - In this paper we shall derive the solutions of a class of partial differential equations and its application to the Black-Scholes equation.

KW - Black-Scholes equation

KW - Option pricing

KW - Partial differential equations

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M3 - Article

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JO - Applied Mathematics and Computation

JF - Applied Mathematics and Computation

IS - 19

ER -

Solutions of a class of partial differential equations with application to the Black-Scholes equation

Abstract

Keywords

ASJC Scopus subject areas

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Cite this