Black-scholes theory and diffusion processes on the cotangent bundle of the affine group
The Black-Scholes partial differential equation (PDE) from mathematical finance has been analysed extensively and it is well known that the equation can be reduced to a heat equation on Euclidean space by a logarithmic transformation of variables. However, an alternative interpretation is proposed i...
| Váldodahkkit: | , , |
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| Eará dahkkit: | |
| Materiálatiipa: | Journal Article |
| Giella: | English |
| Almmustuhtton: |
2021
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| Fáttát: | |
| Liŋkkat: | https://hdl.handle.net/10356/146343 |