ebooks logo journals logo reference works logo abstract databases logo
bullet  SIGN IN Register | Why Register? | Got a Voucher? alerts   marked lists   shopping cart 

informaworld

HOME   |   SEARCH   |   BROWSE
    Issues List       Latest Issue       Forthcoming Articles       Volume 2 Issue 4       Subscribe       Article       References       Related articles      
firstfirst   < prevprev   Table of contentstoc   next >next   last >>last
Publisher Logo Publication Cover
Search within this journal

PDE Models for Pricing Stocks and Options With Memory Feedback 

Author: Robert Peszek a
Affiliation:   a Department of Mathematical Sciences, Michigan Technological University, Houghton, MI, USA
DOI: 10.1080/13504869500000011
Publication Frequency: 6 issues per year
Published in: journal Applied Mathematical Finance, Volume 2, Issue 4 October 1995 , pages 211 - 224
Formats available: PDF (English)
Article Requests: Order Reprints : Request Permissions
View Article: View Article (PDF) View Article (PDF)


Abstract

This paper describes partial differential equation (PDE) models for pricing stocks and options in the presence of memory feedback. Of interest are economic situations in which the stock (option) value at time T depends on some type of average of its past values. Derived PDEs resemble viscous Burgers' equations.
Keywords: Burgers'; equation; memory feedback; trading strategy; pricing
view references (10)
Bookmark with:
  • CiteULike
  • Del.icio.us
  • BibSonomy
  • Connotea
  • More bookmarks
Privacy Policy | Terms & Conditions | Accessibility | RSS
FAQs in: English . Français . Español . 中文(简体和繁體)
© 2009 Informa plc