PDE Models for Pricing Stocks and Options With Memory Feedback
This 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.
If you experience problems downloading a file, check if you have the
view it first. In case of further problems read
the IDEAS help
. Note that these files are not
on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by Taylor & Francis Journals in its journal Applied Mathematical Finance
Volume (Year): 2 (1995)Handle:
Issue (Month): 4 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAMF20
Related researchKeywords: Burgers'
; memory feedback
; trading strategy
ReferencesNo references listed on IDEAS
You can help add them by filling out this form
Citations are extracted by the CitEc Project
, subscribe to its RSS feed
for this item.
- Andrea Pascucci & Marco Di Francesco, 2005.
"On the complete model with stochastic volatility by Hobson and Rogers,"
This item is not listed on Wikipedia, on a reading list
or among the top items
StatisticsAccess and download statistics
When requesting a correction, please mention this item's handle: RePEc:taf:apmtfi:v:2:y:1995:i:4:p:211-224. See general information
about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through
the various RePEc services.