PDE Models for Pricing Stocks and Options With Memory Feedback
AbstractThis paper describes partial differential equation (PDE) models for pricing stocks and options in the presence of memory feedback. Of interest are economic situations in which the stock (option) value at time T depends on some type of average of its past values. Derived PDEs resemble viscous Burgers' equations.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 2 (1995)
Issue (Month): 4 ()
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=100141
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- Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, EconWPA.
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