Semigroup theory applied to options

DOI10.1155/S1110757X02111041zbMath1005.91059OpenAlexW2013778215MaRDI QIDQ1608818

J. M. González-Rodríguez, Domingo Israel Cruz-Báez

Publication date: 13 August 2002

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/49773

zbMATH Keywords

Cauchy problemsemigroup theoryEuropean option

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Riesz operators; eigenvalue distributions; approximation numbers, (s)-numbers, Kolmogorov numbers, entropy numbers, etc. of operators (47B06) Initial value problems for second-order parabolic equations (35K15)

Related Items (4)

Chaotic solution for the Black-Scholes equation ⋮ On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics ⋮ A semigroup approach to American options ⋮ AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM

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