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ON THE PARAMETIC INTEREST OF THE BLACK-SCHOLES EQUATION  

Kananthai, Amnuay (Department of Mathematics, Chiang Mai University)
Publication Information
Journal of applied mathematics & informatics / v.28, no.3_4, 2010 , pp. 923-929 More about this Journal
Abstract
We have discovered some parametics $\lambda$ in the Black-Scholes equation which depend on the interest rate $\gamma$ and the Volatility $\sigma$ and later is named the parametic interest. On studying the parametic interest $\lambda$, we found that such $\lambda$ gives the sufficient condition for the existence of solutions of the Black-Scholes equation which is either weak or strong solutions.
Keywords
Parametic interest; the Black-Scholes equation; the Dirac delta distribution; weak and strong solution; interest rate and volatility;
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  • Reference
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