General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application
نویسندگان
چکیده
منابع مشابه
Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions
We study properties of solutions to fully nonlinear versions of the standard Black– Scholes partial differential equation. These equations have been introduced in financial mathematics in order to deal with illiquid markets or with stochastic volatility. We show that typical nonlinear Black–Scholes equations can be viewed as dynamic programming equation of an associated control problem. We esta...
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The forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a significant role in investors deci-sion making in financial markets. In the present paper, the Black Scholes model in the prediction of stock on year later value, on using data from mel...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2330083