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GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION 总被引：11，自引：0，他引：11
1991MRSubjectClassification35K05,35K55,60J351IntroductionTileBlack-ScllolesOI)tiollPn(:illgForllllllaalldtlleCapitalAssetPn(:iugMO(l(floff'(trsillll)1(tclosedf'Orlllsolutionto11()ntrivialpartittldifferentialeqllatiollillfillance.Botllhalvesigllifi(f;tlltlyaff'ectedtheactllalbehaviorof1llarkets.TheBlack-ScholesInodelisaspecial'faseofill(f1llztrtillgalesecllritypricillglilodel.D.Duffie(1988)derivedthcBlack-ScllolesFOrlxllllztillfivt!(lift'\-arestw;lyslTheseare:(1)byalilllitfi.olndisc… 相似文献
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1IntroductionandMainResultsTheequationwasindependentlyadvocatedbyKuramoto[6]inconnectionwithreaction-diffusionsystems,andbySivashinsky[10]inmodelingflamepropagation.Italsoarisesinthecontextofvisousfilmflow[0]andbifurcatingsolutionsoftheNavier-Stokesequations[2].Obviouslyldifferentiating(1.1)withrespecttox=(xl,'',AN)andsettingu(t,x)=(ul(t,x),''5UN(t,x))"=7W=(W.,l''Iyi'.)",wecanrewrite(l.1)asthefollowingconservedThisistilewell-knownKuramoto-Sivashillsky(KS)equation(Inwhatfollows,wetre… 相似文献
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