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
Formats available:
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(English)
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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.
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| Keywords: Burgers'; equation; memory feedback; trading strategy; pricing |
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