MELLIN TRANSFORM METHOD FOR SOLVING THE BLACK-SCHOLES EQUATION

The use of iterative methods for solving Black-Scholes equation

A new direct method for solving the Black-Scholes equation

Using the Mellin transform a new method for solving the Black-Scholes equation is proposed. Our approach does not require either variable transformations or solving diffusion equations.

the use of iterative methods for solving black-scholes equation

Symmetries, Mellin Transform and the Black-Scholes Equation (A Nonlinear Case)

Using the symmetry group that was found in [1] and further studied in [2], in this work we study the partial differential equation of the Black-Scholes model [3] and relate such symmetries with the Mellin transform to find the price of an european like investment option. We also consider the Black-Schoes-Merton equation in the non-linear case that models investments in which volatility is a fun...

The Black-Scholes Equation

The most important application of the Itô calculus, derived from the Itô lemma, in financial mathematics is the pricing of options. The most famous result in this area is the Black-Scholes formulae for pricing European vanilla call and put options. As a consequence of the formulae, both in theoretical and practical applications, Robert Merton and Myron Scholes were awarded the Nobel Prize for E...