刊名:Communications in Nonlinear Science and Numerical Simulation
出版年:2016
出版时间:July 2016
年:2016
卷:36
期:Complete
页码:496-516
全文大小:925 K
文摘
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We describe a general analytic solution for the inhomogeneous Black–Scholes partial differential equation with mixed boundary conditions using Mellin transform techniques.
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We derive integral equation satisfied by Russian option values by using the analytic formula.
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We present some numerical solutions and plots of the integral equation of Russian options using recursive integration methods.
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We also demonstrate the computational accuracy and efficiency of our method compared to other competing approaches.
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