Spectral approximation of infinite-dimensional Black-Scholes equations with memory (Q965863)

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scientific article; zbMATH DE number 5701574
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    Spectral approximation of infinite-dimensional Black-Scholes equations with memory
    scientific article; zbMATH DE number 5701574

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      Spectral approximation of infinite-dimensional Black-Scholes equations with memory (English)
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      26 April 2010
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      The authors consider \((B,S)\)-markets governed by stochastic delay differential equations. However, for an obscure reason the authors propose their own name for the latter -- a hereditary price structure -- and pretend this to be their own finding, while first articles on financial applications of stochastic delay differential equations were published long before their own paper they mention. Consequently, the authors did not cite numerous papers related to stochastic delay differential equations and it is difficult for the reader to compare the results presented in the paper to the existing ones. While these results are undoubtedly of some interest due to their applicability, their freshness is questionable.
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      market model
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      hereditary structure
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      derivative securities pricing
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      European option
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      spectral approximation
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