Boundary value problems Black-Scholes PDE structured bonds
Issue Date:
2016
Publisher:
Institute of Mathematics and Informatics at the Bulgarian Academy of Sciences
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 26, No 1, (2016), 83p-98p
Abstract:
We explicitly solve some mixed initial/boundary value problems for generalized Black-Scholes PDEs with financially relevant boundary conditions.
As an illustration, new pricing formulas are obtained for convertible and reverse convertible bonds under credit risk. 2010 Mathematics Subject Classification: 35K20, 91G20, 91G80.
