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https://hdl.handle.net/10316/11201
Title: | Memory in the Black-Scholes model | Authors: | Ferreira, J. A. Oliveira, P. de |
Keywords: | Black-Scholes equation; Fick’s flux; Non-Fickian flux; Integro-differential equation | Issue Date: | 2008 | Publisher: | Centro de Matemática da Universidade de Coimbra | Citation: | Pré-Publicações DMUC. 08-60 (2008) | Abstract: | The 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. | URI: | https://hdl.handle.net/10316/11201 | Rights: | openAccess |
Appears in Collections: | FCTUC Matemática - Vários |
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Memory in the Black-Scholes model.pdf | 174.56 kB | Adobe PDF | View/Open |
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