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Spectral Approximation of Infinite-Dimensional Black-Scholes Equations with Memory
Joint Authors
Chang, Mou-Hsiung
Youree, Roger K.
Source
Journal of Applied Mathematics and Stochastic Analysis
Issue
Vol. 2009, Issue 2009 (31 Dec. 2009), pp.1-37, 37 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-01-14
Country of Publication
Egypt
No. of Pages
37
Main Subjects
Abstract EN
This paper considers the pricing of a European option using a (B,S)-market in which the stock price and the asset in the riskless bank account both have hereditary price structures described by the authors of this paper (1999).
Under the smoothness assumption of the payoff function, it is shown that the infinite dimensional Black-Scholes equation possesses a unique classical solution.
A spectral approximation scheme is developed using the Fourier series expansion in the space C[−h,0] for the Black-Scholes equation.
It is also shown that the nth approximant resembles the classical Black-Scholes equation in finite dimensions.
American Psychological Association (APA)
Chang, Mou-Hsiung& Youree, Roger K.. 2010. Spectral Approximation of Infinite-Dimensional Black-Scholes Equations with Memory. Journal of Applied Mathematics and Stochastic Analysis،Vol. 2009, no. 2009, pp.1-37.
https://search.emarefa.net/detail/BIM-497636
Modern Language Association (MLA)
Chang, Mou-Hsiung& Youree, Roger K.. Spectral Approximation of Infinite-Dimensional Black-Scholes Equations with Memory. Journal of Applied Mathematics and Stochastic Analysis No. 2009 (2009), pp.1-37.
https://search.emarefa.net/detail/BIM-497636
American Medical Association (AMA)
Chang, Mou-Hsiung& Youree, Roger K.. Spectral Approximation of Infinite-Dimensional Black-Scholes Equations with Memory. Journal of Applied Mathematics and Stochastic Analysis. 2010. Vol. 2009, no. 2009, pp.1-37.
https://search.emarefa.net/detail/BIM-497636
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-497636