Black-Scholes Theory and Diffusion Processes on the Cotangent Bundle of the Affine Group

The Black-Scholes partial differential equation (PDE) from mathematical finance has been analysed extensively and it is well known that the equation can be reduced to a heat equation on Euclidean space by a logarithmic transformation of variables. However, an alternative interpretation is proposed i...

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Detalles Bibliográficos
Autores principales: Jayaraman, Amitesh S., Campolo, Domenico, Chirikjian, Gregory S.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516939/
https://www.ncbi.nlm.nih.gov/pubmed/33286229
http://dx.doi.org/10.3390/e22040455

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516939/
https://www.ncbi.nlm.nih.gov/pubmed/33286229
http://dx.doi.org/10.3390/e22040455

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