Spectral approximation of infinite-dimensional Black-Scholes equations with memory.
Chang, Mou-Hsiung; Youree, Roger K.
Journal of Applied Mathematics and Stochastic Analysis (2009)
- Volume: 2009, page Article ID 782572, 37 p.-Article ID 782572, 37 p.
- ISSN: 2090-3332
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topChang, Mou-Hsiung, and Youree, Roger K.. "Spectral approximation of infinite-dimensional Black-Scholes equations with memory.." Journal of Applied Mathematics and Stochastic Analysis 2009 (2009): Article ID 782572, 37 p.-Article ID 782572, 37 p.. <http://eudml.org/doc/232576>.
@article{Chang2009,
author = {Chang, Mou-Hsiung, Youree, Roger K.},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {market model; hereditary structure; derivative securities pricing; European option; spectral approximation},
language = {eng},
pages = {Article ID 782572, 37 p.-Article ID 782572, 37 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {Spectral approximation of infinite-dimensional Black-Scholes equations with memory.},
url = {http://eudml.org/doc/232576},
volume = {2009},
year = {2009},
}
TY - JOUR
AU - Chang, Mou-Hsiung
AU - Youree, Roger K.
TI - Spectral approximation of infinite-dimensional Black-Scholes equations with memory.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2009
PB - Hindawi Publishing Corporation, New York
VL - 2009
SP - Article ID 782572, 37 p.
EP - Article ID 782572, 37 p.
LA - eng
KW - market model; hereditary structure; derivative securities pricing; European option; spectral approximation
UR - http://eudml.org/doc/232576
ER -
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