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...
שמור ב:
| Principais autores: | , , |
|---|---|
| פורמט: | Artigo |
| שפה: | Inglês |
| יצא לאור: |
MDPI AG
2020-04-01
|
| סדרה: | Entropy |
| נושאים: | |
| גישה מקוונת: | https://www.mdpi.com/1099-4300/22/4/455 |
| תגים: |
אין תגיות, היה/י הראשונ/ה לתייג את הרשומה!
|