A semigroup approach to generalized Black-Scholes type equations in incomplete markets (Q2315047): Difference between revisions

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Latest revision as of 02:02, 20 July 2024

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A semigroup approach to generalized Black-Scholes type equations in incomplete markets
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    A semigroup approach to generalized Black-Scholes type equations in incomplete markets (English)
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    31 July 2019
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    option pricing
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    indifference price
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    partial differential equations
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    \((C_0)\) semigroups
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    approximate pricing formula
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    numerical tests
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