英文标题：
《Pricing the Aunt Michaela Option with a Modified Black-Scholes Equation
with a Maturity Condition of Gamma Type》
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作者：
Juan Ospina
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最新提交年份：
2018
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英文摘要：
Using Maple, we compute a new exact series solution of a modified Black-Scholes equation, recently proposed, for the case of the Aunt Michaela option with a maturity condition of gamma type. We show that the modified Black-Scholes equation with the Aunt Michaela option is exactly solvable in terms of associated Laguerre polynomials or equivalently, in terms of Whittaker M functions. Finally, we make some numerical experiments with the analytical solutions
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中文摘要：
使用Maple，我们计算了最近提出的修正Black-Scholes方程的一个新的精确级数解，用于具有gamma型成熟度条件的Aunt Michaela期权。我们证明了带有Aunt Michaela选项的修正Black-Scholes方程可以用关联的Laguerre多项式或等价的Whittaker M函数精确解。最后，我们用解析解进行了一些数值实验
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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