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Solving DE
Hi I am new here and would like to find out how to solve the followind DE.(ax^2+bx+c)p'(x) + (dx+e)p''(x)=0
Solving DE
QuoteOriginally posted by: vitasoyHi I am new here and would like to find out how to solve the followind DE.(ax^2+bx+c)p'(x) + (dx+e)p''(x)=0i will rewrite your problem as followsf(x)p'(x) + g(x)p''(x) = 0wheref(x) = ax^2 + bx + cg(x) = dx + ewrite p'(x) = q(x)p''(x) = q'(x)so u end up withf(x)q(x) + g(x)q'(x) = 0ordq/q = - f(x)/g(x) dxln(q) = int(-f(x)/g(x)dx) = h(x)u can integrate the rhs by parts using int (udv/dx) = uv - int(vdu/dx)by inspection, u=f(x) dv/dx = 1/g(x)q = exp(h(x)) hence p = int(qdx) = int(h(x)dx)should be straightforward
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Solving DE
Thanks, however I am solving this problem where I havedXo = r dtdx1 = adt + c dbt and X1(0) = x1Here I am wondering how to price the American put and call option .Coming back on the differential equation.How do we solve the following de?a p"(x) + bxp'(x) +cp(x) = 0?Thanks. Just need to solve this last one for American Put option.Thanks
Solving DE
funnction
Last edited by ppauper on December 13th, 2004, 11:00 pm, edited 1 time in total.