Control of the Black-Scholes equation
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Publication:2402001
DOI10.1016/j.camwa.2017.02.007zbMath1371.91176arXiv1703.09206OpenAlexW2540929036MaRDI QIDQ2402001
Publication date: 6 September 2017
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.09206
Initial-boundary value problems for second-order parabolic equations (35K20) Derivative securities (option pricing, hedging, etc.) (91G20) NLS equations (nonlinear Schrödinger equations) (35Q55) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (3)
The asymptotic behavior of the solutions of the Black-Scholes equation as volatility \(\sigma\rightarrow 0^+\) ⋮ On the solution of two-dimensional fractional Black-Scholes equation for European put option ⋮ An inverse Black-Scholes problem
Cites Work
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- The Pricing of Options and Corporate Liabilities
- Nonlinear Black–Scholes Equations in Finance: Associated Control Problems and Properties of Solutions
- High Frequency Approximation of Solutions to Critical Nonlinear Wave Equations
- From an Initial Data to a Global Solution of the Non-linear Schrödinger Equation: A Building Process
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