Please use this identifier to cite or link to this item: https://hdl.handle.net/10316/11201
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dc.contributor.authorFerreira, J. A.-
dc.contributor.authorOliveira, P. de-
dc.date.accessioned2009-08-27T08:29:44Z-
dc.date.available2009-08-27T08:29:44Z-
dc.date.issued2008-
dc.identifier.citationPré-Publicações DMUC. 08-60 (2008)en_US
dc.identifier.urihttps://hdl.handle.net/10316/11201-
dc.description.abstractThe evolution in time of European options is usually studied using the Black-Scholes formula. This formula is obtained from the equivalence between the Black-Scholes equation and a heat equation. The solution of the last equation presents infinite speed of propagation which induces the same property for European options. In this paper we study integro-differential equations which can be used to describe the evolution of European options and which is established replacing the heat equation by a delayed heat equation.en_US
dc.description.sponsorshipCenter for Mathematics of University of Coimbra; Project PTDC/MAT/74548/2006en_US
dc.language.isoengen_US
dc.publisherCentro de Matemática da Universidade de Coimbraen_US
dc.rightsopenAccesseng
dc.subjectBlack-Scholes equationen_US
dc.subjectFick’s fluxen_US
dc.subjectNon-Fickian fluxen_US
dc.subjectIntegro-differential equationen_US
dc.titleMemory in the Black-Scholes modelen_US
dc.typepreprinten_US
item.grantfulltextopen-
item.fulltextCom Texto completo-
item.openairetypepreprint-
item.languageiso639-1en-
item.openairecristypehttp://purl.org/coar/resource_type/c_816b-
item.cerifentitytypePublications-
Appears in Collections:FCTUC Matemática - Vários
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