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

limit condition for pde bs

• To: mathgroup at smc.vnet.net
• Subject: [mg54964] limit condition for pde bs
• From: "GLP" <cigen at hotmail.com>
• Date: Tue, 8 Mar 2005 05:03:50 -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