Infinite-dimensional Black-Scholes equation with hereditary structure (Q2480781): Difference between revisions

This paper is devoted to the study of the call option pricing problem in (B,S)-markets with hereditary structures in the stock price and in the riskless bank account. By using the concepts of Fréchet derivatives and weak infinitesimal generator the authors see that this problem is equivalent to solving a infinite-dimensional equation, where the partial differentiation uses extended Fréchet derivatives. A computational algorithm for the solution is given via a double sequence of polynomials of a certain bounded linear functional.