next up previous
Next: Introduction

Solution of the Black Scholes Equation
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

Copies of this article are also available in Postscript, and in PDF.
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.


Dennis Silverman