CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL

DOI10.17654/MS110010131zbMath1428.35142OpenAlexW2914975081WikidataQ128472057 ScholiaQ128472057MaRDI QIDQ5237548

S. Prabakaran

Publication date: 18 October 2019

Published in: Far East Journal of Mathematical Sciences (FJMS) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17654/ms110010131

zbMATH Keywords

Brownian motionstochastic processpartial differential equationBlack-Scholes modeljump-diffusion model

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Elliptic equations and elliptic systems (35J99)

Uses Software

• LBFGS-B

Cites Work

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