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
收藏
页码：1157 / 1164
页数：8
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