General Black-Scholes model of security valuation

被引：1

作者：

Zhang, SM

Liu, ZH

机构：

[1] Tsing Hua Univ, Sch Econ & Management, Beijing 100084, Peoples R China

[2] Tongji Med Univ, Dept Basic Math, Wuhan 430030, Peoples R China

来源：

ACTA MATHEMATICA SCIENTIA | 1999年 / 19卷 / 03期

关键词：

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

D O I：

10.1016/S0252-9602(17)30507-6

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper studies the multi-dimensional Black-Scholes model of security valnation. The extension of the Black-Scholes model implies; the partial differential equation derived from an absence of arbitrage which the authors solve by using the Feynmeu-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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