PDE Models for Pricing Stocks and Options With Memory Feedback

DOI10.1080/13504869500000011zbMath1466.91351OpenAlexW1988017761MaRDI QIDQ4994407

Robert Peszek

Publication date: 18 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869500000011

zbMATH Keywords

trading strategyBurgers' equationpricingmemory feedback

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

High-order numerical solution of viscous Burgers' equation using an extended Cole–Hopf barycentric Gegenbauer integral pseudospectral method ⋮ Nash estimates and upper bounds for non-homogeneous Kolmogorov equations ⋮ Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients

Cites Work

• The Pricing of Options and Corporate Liabilities
• The Feedback Effect of Hedging in Illiquid Markets
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