A non-linear Black-Scholes equation
نویسندگان
چکیده
The field of mathematical finance has gained significant attention since Black and Scholes (1973) published their Nobel Prize work in 1973. Using some simplifying economic assumptions, they derived a linear partial differential equation (PDE) of convection–diffusion type which can be applied to the pricing of options. The solution of the linear PDE can be obtained analytically. In this paper we are interested in a non-linear modification of the Black-Scholes equation where the volatility σ is not assumed to be constant, but is assumed to be a
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ورودعنوان ژورنال:
- IJBPSCM
دوره 1 شماره
صفحات -
تاریخ انتشار 2009