This paper describes partial differential equation (PDE) models for pricing stocks and options in the presence of memory feedback. Of interest are economic situations in which the stock (option) value at time T depends on some type of average of its past values. Derived PDEs resemble viscous Burgers\u27 equations. © 1995, Taylor & Francis Group, LLC. All rights reserved
A general market model with memory is considered. The formulation is given in terms of stochastic fu...
This paper presents a model for option pricing in markets that experience financial crashes. The sto...
In financial markets, investors are daily exposed to all kinds of investment risks. Choices have to ...
This paper describes partial differential equation (PDE) models for pricing stocks and options in th...
This paper introduces a class of AR( oo )-type models for mean-square continuous processes with stat...
Abstract: The Black Scholes model of option pricing constitutes the cornerstone of contemporary valu...
The article proposes flatness-based control for stabilization of a stock-loan valuation process that...
Now a days mathematics can be used for many different purposes or topics, and every day new fields t...
In this work we will present a self-contained introduction to the option pricing problem. We will in...
We show how finance markets can be modeled empirically faithfully by using scaling solutions for Mar...
We study the pricing and hedging of European-style derivative securities in a Markov, regime-switchi...
Several transactions taking place in financial markets are dependent on the pricing of mortgages (lo...
This thesis is a study of numerical Partial Differential Equation (PDE) methods in financial derivat...
In this work we will present a self-contained introduction to the option pricing problem. ...
Memory effect is an important phenomenon in financial systems, and a number of research works have b...
A general market model with memory is considered. The formulation is given in terms of stochastic fu...
This paper presents a model for option pricing in markets that experience financial crashes. The sto...
In financial markets, investors are daily exposed to all kinds of investment risks. Choices have to ...
This paper describes partial differential equation (PDE) models for pricing stocks and options in th...
This paper introduces a class of AR( oo )-type models for mean-square continuous processes with stat...
Abstract: The Black Scholes model of option pricing constitutes the cornerstone of contemporary valu...
The article proposes flatness-based control for stabilization of a stock-loan valuation process that...
Now a days mathematics can be used for many different purposes or topics, and every day new fields t...
In this work we will present a self-contained introduction to the option pricing problem. We will in...
We show how finance markets can be modeled empirically faithfully by using scaling solutions for Mar...
We study the pricing and hedging of European-style derivative securities in a Markov, regime-switchi...
Several transactions taking place in financial markets are dependent on the pricing of mortgages (lo...
This thesis is a study of numerical Partial Differential Equation (PDE) methods in financial derivat...
In this work we will present a self-contained introduction to the option pricing problem. ...
Memory effect is an important phenomenon in financial systems, and a number of research works have b...
A general market model with memory is considered. The formulation is given in terms of stochastic fu...
This paper presents a model for option pricing in markets that experience financial crashes. The sto...
In financial markets, investors are daily exposed to all kinds of investment risks. Choices have to ...
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