MathGroup Archive 2005

[Date Index] [Thread Index] [Author Index]

Search the Archive

BS PDE

  • To: mathgroup at smc.vnet.net
  • Subject: [mg54961] BS PDE
  • From: "GLP" <cigen at hotmail.com>
  • Date: Tue, 8 Mar 2005 05:03:46 -0500 (EST)
  • Sender: owner-wri-mathgroup at wolfram.com

Hi would to like to solve a PDE (exact or num) for the black & scholes 
model. it is
D1(t) f(s,t)+r*s*D1(s)f(s,t)+0.5*b^2*s^2*D2(s)f(s,t)=r*f(s,t)
But i dont know how to put this final condition

lim f(s,t)-s=const. when s goes to + Inf.

any suggest?

thnks

giacomo


  • Follow-Ups:
    • Re: BS PDE
      • From: Andrzej Kozlowski <akoz@mimuw.edu.pl>
  • Prev by Date: substrings at the end of words
  • Next by Date: limit condition for pde bs
  • Previous by thread: Re: substrings at the end of words
  • Next by thread: Re: BS PDE