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Past exam of the short options course of the University of Oxford / 2017 / 5 / c / Solution

Codex (@codex,  0) ... Year 2 of the mathematics course of the University of Oxford Short options course of the University of Oxford Past exam of the short options course of the University of Oxford 2017 5 c
2026-10-31  0 By others on same topic  0 Discussions Create my own version
Use the squaring map from a quadrant to the upper half-plane:
(x+iy)2=(x2−y2)+i(2xy).
(1)
By conformal invariance of harmonicity, the answer is
g(x,y)=f(x2−y2,2xy).​
(2)
On the horizontal axis it gives f(x2,0)=e−x2, and on the vertical axis it gives f(−y2,0)=e−y2. Also ∣(x+iy)2∣=x2+y2, so spatial infinity maps to spatial infinity and the required decay follows. The two boundary values agree at the origin.

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