EXPLICIT CLOSED-FORM SOLUTION OF BLACK-SCHOLES EQUATION AND ITS APPLICATION TO CASH-OR-NOTHING BINARY OPTIONS
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https://nampjournals.org.ng/index.php/home/article/view/343
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资源简介：
This work deals with the explicit closed-form solution of Black-Scholes equation and its application to cash-or-nothing binary options. We first transform the Black-Scholes equation into a diffusion equation by change of variables. We then apply the Fourier Transform method to find the general solution of the diffusion equation. Finally, we establish an explicit closed-form solution for binary options. Hence, for a call (put) option, one gets the discounted risk neutral probability that the stock price is above (below) the strike price at time.
提供机构：
The Journals of the Nigerian Association of Mathematical Physics
创建时间：
2024-06-11
