Options and partial differential equations
Küçük Resim Yok
Tarih
2009
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Maltepe Üniversitesi
Erişim Hakkı
CC0 1.0 Universal
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Özet
The aim of this paper is to show how partial differential equations appear in financial models and to present briefly analytical and numerical methods used for effective computations of prices and hedging of options. In his thesis defended in 1900 in the Sorbonne, Louis Bachelier proposed a probabilistic modeling of the time evolution of the price of a share. In terms of what he calls the 'radiation of probability', he was able to relate the distribution of probability to the heat equation, which describes the evolution of temperature in a given media. In the first section, the reasoning of Louis Bachelier is used to bring out a relationship between the heat equation and a modeling of the evolution of share prices. In the second section, the equations satisfied by options prices are introduced. In the third section certain class of solutions to the Black, Scholes and Merton Equation are introduced.
Açıklama
Anahtar Kelimeler
options, partial differential equations, diffusion, Merton Equation
Kaynak
International Conference on Mathematical Sciences
WoS Q Değeri
Scopus Q Değeri
Cilt
Sayı
Künye
Kor, A. ve Can, M. (2009). Options and partial differential equations. International Conference on Mathematical Sciences, Maltepe Üniversitesi. s. 42-43.
