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Results tagged with black-scholes
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user 63153
Black-Scholes is a mathematical model used for pricing options.
1
vote
0
answers
105
views
Feymann Kac for multidimensional pde
I Have to solve the following PDE:
\begin{equation}
\begin{cases}
\dfrac{\partial F}{\partial t}+\dfrac{1}{2}\dfrac{\partial^2 F}{\partial x^2}+\dfrac{1}{2}\dfrac{\partial^2 F}{\partial y^2}+\dfrac{\p …
- 163
2
votes
1
answer
368
views
Black and scholes option pricing
I have to solve the following problem in the Black and scholes model: find the price at anty $t\in[0,T)$ for an option whose payoff at the maturity is:
\begin{equation}
0 \ \ \ \text{if} \ S_T<K_1\\
K …
- 163