Evolution process as an alternative to diffusion process and Black–Scholes Formula
Zhytomyr State University Library
Переглянути архів Інформація| Поле | Співвідношення | |
| Relation |
http://eprints.zu.edu.ua/13245/
http://www.degruyter.com/view/j/rose.2009.17.issue-1/rose.2009.004/rose.2009.004.xml |
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| Title |
Evolution process as an alternative to diffusion process and Black–Scholes Formula
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| Creator |
Pogoruі, А. А.
Rodríguez-Dagnіno, Ramón М. |
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| Subject |
Mathematical Analysis
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| Description |
In this paper, we study the one-dimensional transport process in the case of disbalance. In the hydrodynamic limit, this process approximates the diffusion process on a line. By using this property, we propose to apply transport processes instead of diffusion processes in some economical models, particularly in Black–Scholes formula. This application manages to avoid some drawbacks of diffusion processes.
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| Date |
2009-01
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| Type |
Article
PeerReviewed |
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| Format |
text
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| Language |
uk
english |
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| Identifier |
http://eprints.zu.edu.ua/13245/1/ROSE-BlackScholesOldLast.pdf
Pogoruі, А. А. and Rodríguez-Dagnіno, Ramón М. (2009) Evolution process as an alternative to diffusion process and Black–Scholes Formula. Random Operators and Stochastic Equations (17(1)). pp. 61-68. ISSN 0926-6364 |
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