The Null Volatility Limit of the Chaotic Black-Scholes Equation

DOI10.1007/978-3-319-12145-1_9zbMath1341.47090OpenAlexW2188670088MaRDI QIDQ3460759

Philippe Rogeon, Gisèle R. Goldstein, Jerome A. Goldstein, Hassan Emamirad

Publication date: 8 January 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-12145-1_9

zbMATH Keywords

generalized Black-Scholes equationhypercyclic and chaotic semigroup

Mathematics Subject Classification ID

One-parameter semigroups and linear evolution equations (47D06) Financial applications of other theories (91G80) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Cyclic vectors, hypercyclic and chaotic operators (47A16) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

The chaotic Black-Scholes equation with time-dependent coefficients

Cites Work

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• A different approach for pricing Asian options
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• Chaotic solution for the Black-Scholes equation
• Corrigendum and improvement to “Chaotic solution for the Black-Scholes equation”
• TOPOLOGICAL CHAOS FOR A CLASS OF LINEAR MODELS
• Hypercyclic and chaotic semigroups of linear operators

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