IJPAM: Volume 76, No. 2 (2012)
THE BLACK-SCHOLES OPERATOR AS THE GENERATOR
OF A
-SEMIGROUP AND APPLICATIONS
OF A

O. González-Gaxiola
, José A. Santiago
Department of Applied Mathematics and Systems
UAM-Cuajimalpa
Artificios, 40, México, D.F. 01120, MEXICO



UAM-Cuajimalpa
Artificios, 40, México, D.F. 01120, MEXICO
Abstract. Considering the Black-Scholes equation as a Cauchy problem for different options: european, asian and vanilla, in this work we see that the second order differential operator

on the Schwartz space


Received: August 24, 2011
AMS Subject Classification: 47D06, 47D60, 91G80
Key Words and Phrases: black-scholes equation, differential operator, -semigroups, Vanilla option, Asian option.
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Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2012
Volume: 76
Issue: 2