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PDE Models for Pricing Stocks and Options With Memory Feedback


  • Robert Peszek


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.

Suggested Citation

  • Robert Peszek, 1995. "PDE Models for Pricing Stocks and Options With Memory Feedback," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(4), pages 211-224.
  • Handle: RePEc:taf:apmtfi:v:2:y:1995:i:4:p:211-224 DOI: 10.1080/13504869500000011

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    Cited by:

    1. Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, EconWPA.


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