Using the Green's Function of the Diffusion Equation

**Dennis Silverman
Department of Physics and Astronomy
4129 Frederick Reines Hall
University of California, Irvine
Irvine, CA 92697-4575 **

A related Mathematica program to calculate and plot the solutions is in Postscript, in PDF, and in Mathematica.

Without creating a new solution, we just show explicitly how
to obtain the solution of the Black-Scholes equation for
call option pricing using methods available to physics, mathematics or
engineering
students, namely, using the Green's function for the
diffusion equation.

- Introduction
- Boundary Condition
- Derivation of the Black-Scholes equation
- Conversion of the Black-Scholes Equation to the Diffusion Equation
- Green's Function Solution
- Post-Analysis
- Green's function for the Diffusion equation
- Bibliography
- About this document ...