Black-Scholes Theory and Diffusion Processes on the Cotangent Bundle of the Affine Group

The Black-Scholes partial differential equation (PDE) from mathematical finance has been analysed extensively and it is well known that the equation can be reduced to a heat equation on Euclidean space by a logarithmic transformation of variables. However, an alternative interpretation is proposed i...

詳細記述

書誌詳細

出版年:	Entropy
主要な著者:	Amitesh S. Jayaraman, Domenico Campolo, Gregory S. Chirikjian
フォーマット:	論文
言語:	英語
出版事項:	MDPI AG 2020-04-01
主題:	Black-Scholes affine unimodular cotangent bundle Lie groups diffusion
オンライン･アクセス:	https://www.mdpi.com/1099-4300/22/4/455