Results 1 to 1 of 1

Math Help - Heat Equation

  1. #1
    Super Member Deadstar's Avatar
    Joined
    Oct 2007
    Posts
    722

    Heat Equation

    Right heres a Q on the heat equation that should be simple but im making a mistake somewhere.....

    Since I wasn't entirely sure what to do i figured if i sub in the values of a and b into the exponential then differentiate with respect to \tau and again but twice with respect to x then both answers should be equal.
    but for U_{\tau} i got -(\frac{1}{4} + \frac{r}{\sigma^2} + \frac{r^2}{\sigma^4})e^{ax + b\tau}
    and for U_{xx} i got \frac{1}{4} - \frac{r}{\sigma^2} + \frac{r^2}{\sigma^4} e^{ax + b\tau}

    have i made a mistake somewhere or should i have subbed V(s,t) = e^{ax + b\tau} U(x, \tau) into the Black-Scholes equation (in which case i think ill leave this Q alone for now...)
    Attached Thumbnails Attached Thumbnails Heat Equation-h-e.jpg  
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. Heat problem with a heat equation
    Posted in the Advanced Applied Math Forum
    Replies: 1
    Last Post: November 25th 2009, 10:40 AM
  2. the heat equation
    Posted in the Differential Equations Forum
    Replies: 1
    Last Post: November 10th 2009, 05:41 AM
  3. heat equation
    Posted in the Differential Equations Forum
    Replies: 3
    Last Post: June 1st 2009, 07:57 AM
  4. heat equation
    Posted in the Differential Equations Forum
    Replies: 0
    Last Post: April 18th 2009, 04:50 AM
  5. Heat equation
    Posted in the Calculus Forum
    Replies: 3
    Last Post: December 6th 2008, 05:47 AM

Search Tags


/mathhelpforum @mathhelpforum