Some properties of Legendre polynomials and an approximate solution of the Black-Scholes equation governing option pricing

被引：1

作者：

Khatskevich, V. L. ^{[1
]}

机构：

[1] Voronezh State Univ, Voronezh 394693, Russia

来源：

DIFFERENTIAL EQUATIONS | 2015年 / 51卷 / 09期

基金：

俄罗斯基础研究基金会;

关键词：

Stock Price; Option Price; Legendre Polynomial; Strike Price; Taylor Formula;

D O I：

10.1134/S0012266115090050

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We suggest a method for the approximation solution of a special boundary value problem for the Black-Scholes differential equation in the theory of options on the basis of the representation of the boundary condition specifying the option execution price in the form of a series in Legendre polynomials. New properties of Legendre polynomials are established.

引用

页码：1157 / 1164

页数：8

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