{"entities":{"Q2800055":{"pageid":2810793,"ns":120,"title":"Item:Q2800055","lastrevid":52506203,"modified":"2026-01-22T20:14:09Z","type":"item","id":"Q2800055","labels":{"en":{"language":"en","value":"On robustness of the Black-Scholes partial differential equation model"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 6568920"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2800055$75C00D32-7C04-43CE-AA3F-116386EEC3A6","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"855e8a85f843ef0149118cbe4e6b2a196e1b057e","datavalue":{"value":"1390.91306","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2800055$F49262F4-2032-4767-8A3C-438E41F203B0","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"539b8f7379364c5e4b687ce04e9032af0646ee7b","datavalue":{"value":"10.1142/S0219024916500138","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2800055$86D14528-D069-4806-A56F-6F7A63876D70","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"bbcac8d5ab12d245434d2618faa48b00f710c466","datavalue":{"value":{"entity-type":"item","numeric-id":588993,"id":"Q588993"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2800055$F701F609-F85D-4B23-8C4D-22F198B50A6F","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"5f8bef6bff8a53dfd7f90cc09b22f5e841fc8a40","datavalue":{"value":{"entity-type":"item","numeric-id":2703107,"id":"Q2703107"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2800055$99D8A1EF-B4C2-4AB8-BF77-464E3799476A","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"b6499ac5bf3e5da5b67d7df6b220045d399489bd","datavalue":{"value":{"time":"+2016-04-14T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2800055$17E7722E-7C79-410A-ADD6-92F044D1E202","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2800055$09506B90-1871-4291-847B-061319CD8FC8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"d6697538cb7a6024fa739eee05a1f012ecc891dc","datavalue":{"value":"35Q91","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2800055$031CB534-FEF2-4B72-AB2F-4573052BBF12","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"a9db7f82f39be0d3b9d4ee3a96b5ed060e972782","datavalue":{"value":"35K10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2800055$46F45224-A1D4-4E0F-8ED6-0A55BB725E53","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"4b02198a34459a135bd2e511d886c30b9cf69d19","datavalue":{"value":"35R60","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2800055$07AB23BC-8C02-46F1-874B-D09FF53D7FDB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"d6f662de1b095b502c93ec7a49ec0ea03ff85766","datavalue":{"value":"60H15","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2800055$858D1967-7D60-4494-9D18-872D94D56BFE","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"babe2d3ea9007b8d238fe4f49a5e7dcf6d3b1539","datavalue":{"value":"6568920","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2800055$B3528B38-3592-4E4E-8184-F8EB885E15C4","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"714b7305cf1707d7e24f08867dcbf3b176b0b558","datavalue":{"value":"Black-Scholes partial differential equation model","type":"string"},"datatype":"string"},"type":"statement","id":"Q2800055$AE1958ED-4A43-4B96-90C0-4D99B1F97F28","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"ccbdcabbbf3d29ff1c16515d2b435750a3bfc584","datavalue":{"value":"partial delay differential equations","type":"string"},"datatype":"string"},"type":"statement","id":"Q2800055$A523F915-51F7-4E79-87EB-2C356424783E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"56cd980cbba1f796853ce78bffd43b31fe9e92a8","datavalue":{"value":"options","type":"string"},"datatype":"string"},"type":"statement","id":"Q2800055$5799A13C-5444-4EBE-B77B-E067BF1F2E73","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"db876e6fa98e121d69371c3d02a5e5a1d14f1d06","datavalue":{"value":"hedging error","type":"string"},"datatype":"string"},"type":"statement","id":"Q2800055$4819CD1E-91F8-4FBF-B092-DD2753F1ABB5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"763ada119edc83a4df519235aa7d24214f80eba4","datavalue":{"value":"discrete-time hedging","type":"string"},"datatype":"string"},"type":"statement","id":"Q2800055$5D815BD4-2173-4436-BEE9-6EBAB53F6FBE","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"111c484854e2b478f01cf6148ef4ec8de13e50d1","datavalue":{"value":"Q115245796","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2800055$904FE766-4BD0-40A4-973E-724616E504FD","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2800055$DE7A4444-A42D-401D-A9EA-2B89E4ACCC96","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"fdc6a1987d65a85c1dbc61cdd2acb7c05ec654ff","datavalue":{"value":{"entity-type":"item","numeric-id":3682852,"id":"Q3682852"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2800055$6A0B2B2E-55F7-40EC-8122-757F0B35A389","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d1295a2e330dc7dbbf7153bfed1c60a121747f0f","datavalue":{"value":{"entity-type":"item","numeric-id":5520962,"id":"Q5520962"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2800055$2FED26CD-7897-4DC9-AC84-06447C70B633","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"24c5ff5fb23304ff1b0e9efee069eeb51ce73d15","datavalue":{"value":{"entity-type":"item","numeric-id":4905685,"id":"Q4905685"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2800055$B72C1B47-1917-4E4A-B48D-E74DD2CA2D83","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"cbbf0d4b952df812a7f9c512b786d3275098a73b","datavalue":{"value":{"text":"On robustness of the Black-Scholes partial differential equation model","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2800055$4575EF35-F608-4E4F-B9C7-09E5ECAC1FAD","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"b815964c0dacaac40b4c78c85cbd3d8bab96a127","datavalue":{"value":"This paper deals with the Black-Scholes partial differential equation model. It is assumed that \\(S=S(t)\\) follows a geometric Brownian motion \\(dS(t)=\\mu Sdt+\\sigma SdW\\), where \\(\\mu\\) is the expected annual drift rate, \\(\\sigma\\) the volatility and \\(W(t)\\) a Brownian motion. If at time \\(t\\) a portfolio consists of a long position in the option and short position in \\(N(t)\\) units of stock \\(S\\), then the portfolio value \\(\\Pi\\) at time \\(t\\) is equal to \\(\\Pi=V-N(t)S\\), and the return to the portfolio value over the interval \\([t,t+\\Delta t]\\) is then equal to \\(\\Delta\\Pi=\\Delta V-N(t)\\Delta S\\). If the amount \\(\\Pi\\) is invested in a riskless asset with an interest rate \\(r\\), then over the interval of length \\(\\Delta t\\) the return to the riskless investment is equal to \\(\\Pi r\\Delta t\\). The hedging error is defined by \\(\\Delta H=\\Delta\\Pi-\\Pi r\\Delta t\\). The author obtains that the mean and the variance of the hedging error are of order \\(O(\\Delta t^2)\\). It is proved that the mean absolute value of the hedging error would be lower than that for the standard continuous-time delta. The adjusted partial differential equation describing the option value \\(V(t,S)\\) is derived by \\(V_{t}(t,S)+{1\\over2}\\sigma^2 S^2 V_{SS}(t,S)+rSV_{S}(t+\\alpha\\Delta t,S)-rV(t,S)=0\\). Then, using the change of variable, the equation \\(u_{t}(t,x)=u_{xx}(t,x)+au_{x}(t-h,x)+bu(t-h,x)\\) is derived, and the solution of this equation is compared to that of the Black-Scholes partial differential equation.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2800055$BC94C0A2-D032-4A8F-A966-05951F9D1D98","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"de1d1c2e1c6bfdfb0344bb0181fe84e959c1c5f9","datavalue":{"value":{"entity-type":"item","numeric-id":589933,"id":"Q589933"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2800055$3D132BE5-7231-4C8F-ACC0-613A673F7E02","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c9d6c529d847dc7f89d10575f16e3836a872cc26","datavalue":{"value":{"entity-type":"item","numeric-id":857949,"id":"Q857949"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"fd58db3fe73af3ed1a105378d35116147f3446f7","datavalue":{"value":{"amount":"+0.8496193289756775","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2800055$928FC57E-054C-4072-85D1-85D7EB9585AD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"15ebc968aab3eecdeb92a84016917eb35a6f838d","datavalue":{"value":{"entity-type":"item","numeric-id":3656595,"id":"Q3656595"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a65ca0ff149cbc8c68d1b0cd63f0dce1be53021b","datavalue":{"value":{"amount":"+0.7903556227684021","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2800055$759DB858-10FE-4518-8664-9892218DBFA3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"cece56e2b741fa4c7b6ee8b33e9141039972dfa6","datavalue":{"value":{"entity-type":"item","numeric-id":4345921,"id":"Q4345921"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"b87a4e1615c2d4ec129b79624ec04246cae43dfd","datavalue":{"value":{"amount":"+0.7747716307640076","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2800055$0654A23B-BE61-40FB-9A5C-072B622C9F9D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"80ccdc2d5efff4ae821e07d5df6c14ac593d13a5","datavalue":{"value":{"entity-type":"item","numeric-id":3169959,"id":"Q3169959"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"146150ce3ed4f96a4701e897256b339bd23fcd97","datavalue":{"value":{"amount":"+0.7747499346733093","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2800055$9773FE1F-4E88-4E30-8A84-FCA8AEBF7AA9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"4660b9e6d1ed88cc3597b82cdaee5aec19b5dc5b","datavalue":{"value":{"entity-type":"item","numeric-id":2322589,"id":"Q2322589"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a6e8418322fd2ea332590500db24b8df35c834cc","datavalue":{"value":{"amount":"+0.7744600772857666","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2800055$FB2C5BC5-FC9D-4442-B7FD-2876657958AC","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:2800055","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:2800055"}}}}}