IJPAM: Volume 65, No. 4 (2010)
THE EIGENVALUES AND THE INTEREST
RATE OF THE BLACK-SCHOLES EQUATION



Chiang Mai University
Chiang Mai, 50200, THAILAND

Faculty of Science at Mahidol University
272 Rama 6 Road, Phayathai Campus
Ratchathewi, Bangkok, 10400, THAILAND
e-mail: malamnka@science.cmu.ac.th
Abstract.In this article, we study the delta hedging which is another way
of minimizing the risk of investment. We can relate the delta
hedging to the eigenvalues and the interest rate of the
Black-Scholes equation. We found that such delta hedging depending
on the relationship between the eigenvalues and the interest rate.
We also found that the asymptotic form of the delta hedging
related to the price of stock. Moreover, the results of this paper
may not be useful in the real world application. But at least this
paper may create the new results in the mathematical area which
applying in the Financial Mathematics.
Received: November 10, 2010
AMS Subject Classification: .
Key Words and Phrases: delta hedging, Black-Scholes equation
Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2010
Volume: 65
Issue: 4