A new direct method for solving the Black–Scholes equation☆

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Abstract

Using the Mellin transform a new method for solving the Black–Scholes equation is proposed. Our approach does not require either variable transformations or solving diffusion equations.

Keywords

Black–Scholes equation
Mellin transform

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This work has been partially supported by the Spanish D.G.I.C.Y.T. grant BFM2000-206-C04-04 and grant DPI 2001-2703-C02-02.

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