Spectral approximation of infinite-dimensional Black-Scholes equations with memory

DOI10.1155/2009/782572zbMath1192.91175OpenAlexW1980252111WikidataQ58648169 ScholiaQ58648169MaRDI QIDQ965863

Mou-Hsiung Chang, Roger K. Youree

Publication date: 26 April 2010

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/232576

zbMATH Keywords

market modelspectral approximationEuropean optionhereditary structurederivative securities pricing

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• An approximation scheme for Black-Scholes equations with delays
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• 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
• A stochastic delay financial model
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