The chaotic Black-Scholes equation with time-dependent coefficients

DOI10.1007/S00013-020-01453-4OpenAlexW3015520822MaRDI QIDQ777082FDOQ777082

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

• Title not available (Why is that?)
• Hypercyclic and chaotic semigroups of linear operators
• A different approach for pricing Asian options
• Hypercyclic behaviour of operators in a hypercyclic \(C_{0}\)-semigroup
• Spectrum and asymptotics of the Black-Scholes partial differential equation in \((L^ 1,L^ \infty)\)-inter\-polation spaces.
• Corrigendum and improvement to “Chaotic solution for the Black-Scholes equation”
• 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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