The chaotic Black-Scholes equation with time-dependent coefficients

DOI10.1007/S00013-020-01453-4MaRDI QIDQ777082zbMATH OpenOpenAlexFDO

Authors Jerome A. Goldstein, Michael Kaplin, Gisèle Ruiz Goldstein

Publication date 3 July 2020

Published in Archiv der Mathematik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00013-020-01453-4

zbMATH Keywords

generalized Black-Scholes equationchaotic evolution familyhypercyclic evolution family

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial applications of other theories (91G80) One-parameter semigroups and linear evolution equations (47D06)

Cites work

• scientific article; zbMATH DE number 3951370 (Why is no real title available?)
• A different approach for pricing Asian options
• Corrigendum and improvement to “Chaotic solution for the Black-Scholes equation”
• Hypercyclic and chaotic semigroups of linear operators
• Hypercyclic behaviour of operators in a hypercyclic \(C_{0}\)-semigroup
• Spectrum and asymptotics of the Black-Scholes partial differential equation in (L^ 1,L^ )-inter\-polation spaces.
• The null volatility limit of the chaotic Black-Scholes equation

Cited in

(3)

• Chaotic solution for the Black-Scholes equation
• Frequently hypercyclic semigroup generated by some partial differential equations with delay operator
• On a class of problems related to financial mathematics

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