The chaotic Black-Scholes equation with time-dependent coefficients

DOI10.1007/S00013-020-01453-4OpenAlexW3015520822MaRDI QIDQ777082

Michael Kaplin, Jerome A. Goldstein, Gisèle Ruiz Goldstein

Publication date: 3 July 2020

Published in: Archiv der Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00013-020-01453-4

zbMATH Keywords

generalized Black-Scholes equationchaotic evolution familyhypercyclic evolution family

Mathematics Subject Classification ID

One-parameter semigroups and linear evolution equations (47D06) Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Unnamed Item
• Spectrum and asymptotics of the Black-Scholes partial differential equation in \((L^ 1,L^ \infty)\)-inter\-polation spaces.
• Hypercyclic behaviour of operators in a hypercyclic \(C_{0}\)-semigroup
• A different approach for pricing Asian options
• Corrigendum and improvement to “Chaotic solution for the Black-Scholes equation”
• The Null Volatility Limit of the Chaotic Black-Scholes Equation
• Hypercyclic and chaotic semigroups of linear operators

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