Black-Scholes Theory and Diffusion Processes on the Cotangent Bundle of the Affine Group
The Black-Scholes partial differential equation (PDE) from mathematical finance has been analysed extensively and it is well known that the equation can be reduced to a heat equation on Euclidean space by a logarithmic transformation of variables. However, an alternative interpretation is proposed i...
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| Principais autores: | , , |
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| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
MDPI AG
2020-04-01
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| Serija: | Entropy |
| Teme: | |
| Online dostop: | https://www.mdpi.com/1099-4300/22/4/455 |
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