不满分子
发表于 2025-3-30 12:00:46
European Options in BS Marketsopean option. We assume that the stock price follows a geometric Brownian motion and show that the option price satisfies a parabolic PDE. The unbounded log-price domain is localized to a bounded domain and the error incurred by the truncation is estimated. It is shown that the variational formulati
射手座
发表于 2025-3-30 12:46:10
American Optionsess. Similar to the pricing of European contracts, the solutions of these problems have a deterministic characterization. Unlike in the European case, the pricing function of an American option does not satisfy a partial differential equation, but a partial differential inequality, or to be more pre
用不完
发表于 2025-3-30 17:38:12
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GRAZE
发表于 2025-3-30 21:40:22
Multi-asset Optionstions derived from .≥2 underlying risky assets, whose price movement can be described by a system of SDEs. The pricing functions of multi-asset options are multivariate functions satisfying a parabolic partial differential equation in . dimensions, together with an appropriate terminal value dependi
秘方药
发表于 2025-3-31 03:03:13
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传授知识
发表于 2025-3-31 06:58:07
Lévy Modelst skewness and kurtosis. If large movements in the asset price occur more frequently than in the BS-model of the same variance, the tails of the distribution, should be “fatter” than in the Black–Scholes case. Another problem is that observed log-returns occasionally appear to change discontinuously