IJPAM: Volume 78, No. 4 (2012)
THE BLACK-SCHOLES OPTION PRICING MODEL
Department of Mathematics and CS
Minot State University
Minot, 58707, ND, USA
Abstract. In this paper we study parameters associated with the Black-Scholes option pricing model. The existence, uniqueness, and continuous dependence of the weak solution of the Black-Scholes model are established. The existence of optimal parameters is established.
Received: April 9, 2012
AMS Subject Classification: 35B30, 49J50
Key Words and Phrases: European options, black-scholes model, weak solution, optimal parameters
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Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395