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MathGroup Archive 2005

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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


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