Black-Scholes方程广义形式的精确解
计算金融
2014-11-12 v1
摘要
我们分析了一个依赖于参数的Black-Scholes方程的广义形式。它满足鞅条件，并在极限情况下与Black-Scholes方程一致。我们证明该广义方程可以用Hermite多项式精确求解，并将其解与Black-Scholes方程的解进行了数值比较。
引用
@article{arxiv.1411.2628,
title = {Exact solution of a generalized version of the Black-Scholes equation},
author = {Liviu-Adrian Cotfas and Camelia Delcea and Nicolae Cotfas},
journal= {arXiv preprint arXiv:1411.2628},
year = {2014}
}