Infinite-dimensional Black-Scholes equation with hereditary structure (Q2480781)

From MaRDI portal
Revision as of 07:18, 5 March 2024 by Import240304020342 (talk | contribs) (Set profile property.)
scientific article
Language Label Description Also known as
English
Infinite-dimensional Black-Scholes equation with hereditary structure
scientific article

    Statements

    Infinite-dimensional Black-Scholes equation with hereditary structure (English)
    0 references
    0 references
    0 references
    3 April 2008
    0 references
    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.
    0 references
    0 references
    Option pricing
    0 references
    European option
    0 references
    Fréchet derivative
    0 references
    stochastic functional differential equations
    0 references
    generalized Black-Scholes formula
    0 references

    Identifiers