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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2020
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| Materias: | |
| 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 |