Infinite-Dimensional Black-Scholes Equation with Hereditary Structure

Infinite-Dimensional Black-Scholes Equation with Hereditary Structure This paper considers the option pricing problem for contingent claims of the European type in a ( B , S )-market in which the stock price and the asset in the riskless bank account both have hereditary structures. The Black-Scholes equation for the classical option pricing problem is generalized to an infinite-dimensional equation to include the effects of time delay in the evolution of the financial market as well as a very general payoff function. A computational algorithm for the solution is also obtained via a double sequence of polynomials of a certain bounded linear functional on a Banach space and the time variable. Applied Mathematics and Optimization Springer Journals

Infinite-Dimensional Black-Scholes Equation with Hereditary Structure

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Copyright © 2007 by Springer Science+Business Media, LLC
Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
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