Exact solutions of a model for asset prices by K. Takaoka

DOI10.1007/s10690-006-9022-9zbMath1154.91450OpenAlexW1989441396MaRDI QIDQ853866

Toshi-hiko Sakaguchi, Naoyuki Ishimura

Publication date: 17 November 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9022-9

zbMATH Keywords

partial differential equationexact pricing formulaextension of the Black-Scholes model

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15)

Related Items (3)

A complete-market generalization of the Black-Scholes model ⋮ The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model ⋮ Valuation of a repriceable executive stock option

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A partial introduction to financial asset pricing theory.
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• The Mathematics of Financial Derivatives

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