The asymptotic behavior of the solutions of the Black–Scholes equation as volatility [formula omitted].

The aim of this paper is to explore the asymptotic properties of the solutions to the Black–Scholes equation. This paper focuses on the basic properties of options when the volatility σ is sufficiently close to zero. We got an approximate formula for option pricing. This approximate formula is simple and can be applied to financial markets with small volatility. [ABSTRACT FROM AUTHOR]