ON ROBUSTNESS OF THE BLACK–SCHOLES PARTIAL DIFFERENTIAL EQUATION MODEL

DOI10.1142/S0219024916500138zbMath1390.91306WikidataQ115245796 ScholiaQ115245796MaRDI QIDQ2800055

Miklauž Mastinšek

Publication date: 14 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

optionshedging errorBlack-Scholes partial differential equation modeldiscrete-time hedgingpartial delay differential equations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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