Options and partial differential equations

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dc.contributor.authorKor, A.
dc.contributor.authorCan, M.
dc.date.accessioned2024-07-12T20:56:17Z
dc.date.available2024-07-12T20:56:17Z
dc.date.issued2009en_US
dc.departmentMaltepe Üniversitesi, İnsan ve Toplum Bilimleri Fakültesien_US
dc.description.abstractThe 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.en_US
dc.identifier.citationKor, A. ve Can, M. (2009). Options and partial differential equations. International Conference on Mathematical Sciences, Maltepe Üniversitesi. s. 42-43.en_US
dc.identifier.endpage43en_US
dc.identifier.isbn9.78605E+12
dc.identifier.startpage42en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12415/2958
dc.language.isoenen_US
dc.publisherMaltepe Üniversitesien_US
dc.relation.ispartofInternational Conference on Mathematical Sciencesen_US
dc.relation.publicationcategoryUluslararası Konferans Öğesi - Başka Kurum Yazarıen_US
dc.rightsCC0 1.0 Universal*
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rights.urihttp://creativecommons.org/publicdomain/zero/1.0/*
dc.snmzKY07895
dc.subjectoptionsen_US
dc.subjectpartial differential equationsen_US
dc.subjectdiffusionen_US
dc.subjectMerton Equationen_US
dc.titleOptions and partial differential equationsen_US
dc.typeConference Object
dspace.entity.typePublication

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