GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION

被引：0

作者：

张顺明

柳再华

机构：

来源：

Acta Mathematica Scientia | 1999年 / 03期

关键词：

Black-Scholes model; stochastic differential equation; partial differential equation; Cauchy problem;

D O I：

暂无

中图分类号：

O212 [数理统计];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：279 / 288

页数：10

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