Analytical Approach for Solving Black-Scholes Equations using Tensor Product Technique in Banach Spaces
Werry Febrianti

Department Mathematics, Faculty of Sciences, Institut Teknologi Sumatera

Abstract

Black-Scholes partial differential equation (BS PDE) is one of the fundamental equations in mathematical finance. This BS PDE is important in finding option pricing in derivative markets like European option pricing, insurance, and other aspects. There are so many techniques that have been developed for finding the solution of this BS PDE. Therefore, this research develops a way to find the analytical solution of BS PDE using tensor product techniques in Banach space.

Keywords: Black-Scholes, tensor product, Banach space

Topic: Minisymposia Differential Equations