Exact and numerical solution of Black–Scholes matrix equation
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摘要
In this paper a new method for solving Black–Scholes equation is proposed. The approach is based on the Mellin transform. A numerical procedure for the approximation of the solution is given.
论文关键词：Black–Scholes equation,Mellin transform
论文评审过程：Available online 14 January 2004.
论文官网地址：https://doi.org/10.1016/j.amc.2003.11.018
