A master equation approach to option pricing
نویسندگان
چکیده
منابع مشابه
A master equation approach to option pricing
A master equation approach to the numerical solution of option pricing models is developed. The basic idea of the approach is to consider the Black–Scholes equation as the macroscopic equation of an underlying mesoscopic stochastic option price variable. The dynamics of the latter is constructed and formulated in terms of a master equation. The numerical efficiency of the approach is demonstrat...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2003
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(02)01530-3