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GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION
Authors:Zhang Shunming
Affiliation:1. School of Mechanical Engineering, Hebei University of Technology, Tianjin 300130, PR China;2. School of Mechatronic Engineering, China University of Mining and Technology, Xuzhou 221116, PR China;1. Microsoft Research, Redmond, WA 98052, United States;2. Department of Economics, University of Missouri, Columbia, MO 65211, United States;1. Department of Natural Resources and Environmental Engineering, Hanyang University, 222 Wangsimni-ro, Seongdong-gu, Seoul 133-791, Republic of Korea;2. Energy Demand Management Division, Climate Change Policy Research Group, Korea Energy Economics Institute, 132 Naesonsunhwan-ro, Uiwang-si, Gyeonggi-do 437-713, Republic of Korea;1. The School of Electrical Engineering at Southwest Jiaotong University, Chengdu 610031, China;2. The School of Electronic and Information Engineering, Xi’an Jiaotong University, Xi’an, China;1. Dipartimento di Ingegneria Civile Ambientale, Politecnico di Milano, Piazza L. Da Vinci 32, 20133 Milano, Italy;2. Department of Hydrology and Atmospheric Sciences, University of Arizona, Tucson, AZ 85721, USA
Abstract:This paper studies the multi-dimebsional Black-Scholes model of security val valuation.The extension of the Black-Scholes model implies the partial differential equation derived from an absence of arbitrage which the authors solve by using tile Feynmen-Kac Formula. Then they compute its special example by solving the multi-variable partial differential equation.
Keywords:Black-Scholes model   stochastic differential equation   partial differential equation   Cauchy problem
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