Solution of Black-Scholes Equation on Barrier Option

S. Meena, J. Vernold Vivin

Abstract


In this article, a solution of the Black-Scholes partial differential equation corresponding to barrier options is proposed. Semigroup theory techniques and Mellin transform method are used to discuss its solution.

Keywords


European option; Barrier option; Black Scholes equation; Co-semigroups; Mellin transform

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References


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DOI: http://dx.doi.org/10.26713%2Fjims.v9i3.939

eISSN 0975-5748; pISSN 0974-875X