Simplest differential equation of stock price, its solution and relation to assumption of Black-Scholes model
type: Item
instance of: scholarly article
title: Simplest differential equation of stock price, its solution and relation to assumption of Black-Scholes model
zbMATH Open document ID: 1092.91035
DOI: 10.1007/BF02437866
author: Guanglong Lei
author: Tian-quan Yun
published in: Applied Mathematics and Mechanics. (English Edition)
publication date: 2004-11-29T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B64
zbMATH DE Number: 2119886
zbMATH Keywords: option pricing
zbMATH Keywords: probability and certainty
Wikidata QID: Q115392179
MaRDI profile type: Publication
cites work: Basic equations, theory and principle of computational stock market. I: Basic equations
cites work: Basic equations, theory and principles of computational stock market. II: Basic principles
cites work: Basic equations, theory and principle of computational stock market. III: Basic theories
cites work: Analysis of financial derivatives by mechanical method. I: Basic equation of price of index futures
cites work: Analysis of financial derivatives by mechanical method. II: Basic equation of market price of option.
full work available at URL: https://doi.org/10.1007/bf02437866
OpenAlex ID: W2240854853
Recommended article: Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations
Recommended article: The Black-Scholes equation in stochastic volatility models
Recommended article: Derivation of the Black–Scholes Equation from Basic Principles
Recommended article: Q3013371
Recommended article: A simple finite-difference stock market model involving intrinsic value
Recommended article: Solutions of a class of partial differential equations with application to the Black-Scholes equation
Recommended article: Q3384656
Recommended article: On analytical solutions of the Black-Scholes equation
Recommended article: Q5319507
Recommended article: On the spectrum of the option price of stock markets from the Black-Scholes equation
description: scientific article; zbMATH DE number 2119886