Infinite-dimensional Black-Scholes equation with hereditary structure

DOI10.1007/s00245-007-9003-zzbMath1143.91015OpenAlexW2066157328MaRDI QIDQ2480781

Roger K. Youree, Mou-Hsiung Chang

Publication date: 3 April 2008

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-007-9003-z

zbMATH Keywords

Fréchet derivativestochastic functional differential equationsEuropean optionOption pricinggeneralized Black-Scholes formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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