A semigroup approach to generalized Black-Scholes type equations in incomplete markets (Q2315047)
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scientific article; zbMATH DE number 7087665
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| English | A semigroup approach to generalized Black-Scholes type equations in incomplete markets |
scientific article; zbMATH DE number 7087665 |
Statements
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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0.8092974424362183
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0.8046068549156189
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0.778792142868042
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