A NEW EXPLICIT FORMULA FOR THE SOLUTION OF THE BLACK-MERTON-SCHOLES EQUATION
Jerome A. Goldstein, Rosa Maria Mininni, Silvia Romanelli · QP-PQ, quantum probability and white noise analysis · 2008
The Black-Merton-Scholes equation plays a fundamental role in the option pricing theory. Our main purpose is to derive an explicit formula for its solu- tion, using simple tools from operator semigroups. The paper includes also an expository treatment of how the equation arises.