Semigroup theory applied to options
Black and Scholes (1973) proved that under certain assumptions about the market place, the value of a European option, as a function of the current value of the underlying asset and time, verifies a Cauchy problem. We give new conditions for the existence and uniqueness of the value of a European op...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2002-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/S1110757X02111041 |
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