An approximation scheme for Black-Scholes equations with delays

DOI10.1007/s11424-010-0139-6zbMath1198.91227OpenAlexW2093267762WikidataQ57439903 ScholiaQ57439903MaRDI QIDQ601061

Mou-Hsiung Chang, Moustapha Pemy, Tao Pang

Publication date: 3 November 2010

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-010-0139-6

zbMATH Keywords

finite differenceviscosity solutionsstochastic functional differential equationsBlack-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Option pricing under a normal mixture distribution derived from the Markov tree model ⋮ Spectral approximation of infinite-dimensional Black-Scholes equations with memory

Cites Work

• The Pricing of Options and Corporate Liabilities
• Finite difference approximation for stochastic optimal stopping problems with delays
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Theory of functional differential equations. 2nd ed
• The European option with hereditary price structures
• The pricing of options for securities markets with delayed response
• Infinite-dimensional Black-Scholes equation with hereditary structure
• A Delayed Black and Scholes Formula
• Finite Difference Approximations for Stochastic Control Systems with Delay
• User’s guide to viscosity solutions of second order partial differential equations
• ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES
• Dynamic programming in stochastic control of systems with delay
• Optimal control of stochastic functional differential equations with a bounded memory
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