Spectral approximation of infinite-dimensional Black-Scholes equations with memory
type: Item
instance of: scholarly article
title: Spectral approximation of infinite-dimensional Black-Scholes equations with memory
zbMATH Open document ID: 1192.91175
DOI: 10.1155/2009/782572
author: Mou-Hsiung Chang
author: Roger K. Youree
published in: Journal of Applied Mathematics and Stochastic Analysis
publication date: 2010-04-26T00:00:00Z
full work available at URL: https://eudml.org/doc/232576
review text: The authors consider \((B,S)\)-markets governed by stochastic delay differential equations. However, for an obscure reason the authors propose their own name for the latter -- a hereditary price structure -- and pretend this to be their own finding, while first articles on financial applications of stochastic delay differential equations were published long before their own paper they mention. Consequently, the authors did not cite numerous papers related to stochastic delay differential equations and it is difficult for the reader to compare the results presented in the paper to the existing ones. While these results are undoubtedly of some interest due to their applicability, their freshness is questionable.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 5701574
zbMATH Keywords: market model
zbMATH Keywords: hereditary structure
zbMATH Keywords: derivative securities pricing
zbMATH Keywords: European option
zbMATH Keywords: spectral approximation
Wikidata QID: Q58648169
reviewed by: G. M. Shevchenko
MaRDI profile type: Publication
OpenAlex ID: W1980252111
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description: scientific article; zbMATH DE number 5701574