Controllability and hedgibility of Black-Scholes equations with N stocks
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Controllability and hedgibility of Black-Scholes equations with \(N\) stocks
Controllability and hedgibility of Black-Scholes equations with \(N\) stocks
volatilitycontrollabilityobservabilityinitial boundary value problemBlack-Scholes equationssecond order differential operatorhedgibility
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving partial differential equations (49K20) Optimal stochastic control (93E20)
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Cites work
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- scientific article; zbMATH DE number 1181255 (Why is no real title available?)
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- A Black--Scholes option pricing model with transaction costs
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- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
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- Solutions to a stationary nonlinear Black-Scholes type equation
- The Mathematics of Financial Derivatives
- The pricing of options and corporate liabilities
- Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
- Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
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