英文标题：
《Exact solution of a generalized version of the Black-Scholes equation》
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作者：
Liviu-Adrian Cotfas, Camelia Delcea, Nicolae Cotfas
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最新提交年份：
2014
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英文摘要：
We analyze a generalized version of the Black-Scholes equation depending on a parameter $a\\!\\in \\!(-\\infty,0)$. It satisfies the martingale condition and coincides with the Black-Scholes equation in the limit case $a\\nearrow 0$. We show that the generalized equation is exactly solvable in terms of Hermite polynomials and numerically compare its solution with the solution of the Black-Scholes equation.
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中文摘要：
我们分析了Black-Scholes方程的一个广义版本，它依赖于一个参数$a\\！\\在\\！（\\infty，0）$。它满足鞅条件，并与极限情况下的Black-Scholes方程相吻合$a\\nearrow 0$。我们证明了广义方程可以用Hermite多项式精确求解，并将其解与Black-Scholes方程的解进行了数值比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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