Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/11201
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ferreira, J. A. | - |
dc.contributor.author | Oliveira, P. de | - |
dc.date.accessioned | 2009-08-27T08:29:44Z | - |
dc.date.available | 2009-08-27T08:29:44Z | - |
dc.date.issued | 2008 | - |
dc.identifier.citation | Pré-Publicações DMUC. 08-60 (2008) | en_US |
dc.identifier.uri | https://hdl.handle.net/10316/11201 | - |
dc.description.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. | en_US |
dc.description.sponsorship | Center for Mathematics of University of Coimbra; Project PTDC/MAT/74548/2006 | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Centro de Matemática da Universidade de Coimbra | en_US |
dc.rights | openAccess | eng |
dc.subject | Black-Scholes equation | en_US |
dc.subject | Fick’s flux | en_US |
dc.subject | Non-Fickian flux | en_US |
dc.subject | Integro-differential equation | en_US |
dc.title | Memory in the Black-Scholes model | en_US |
dc.type | preprint | en_US |
item.fulltext | Com Texto completo | - |
item.openairecristype | http://purl.org/coar/resource_type/c_816b | - |
item.grantfulltext | open | - |
item.languageiso639-1 | en | - |
item.openairetype | preprint | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | FCTUC Matemática - Vários |
Files in This Item:
File | Description | Size | Format | |
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Memory in the Black-Scholes model.pdf | 174.56 kB | Adobe PDF | View/Open |
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