BUILDING STENCIL FOR A BLACK-SCHOLES-MERTON-GARMAN GENERALIZED LIKE PDE FOR A MULTIASSET FINANCIAL DERIVATIVE IN GENERALIZED ALGEBRAIC-VECTORIAL MODEL

Socaciu Tiberiu, Paul Pascu

Abstract


In this paper we build a offer a method for generating reccurence formula for a PDE like Black-Scholes-Merton-Garman equation in hypothesis of a financial derivative that is dependent on N supports (usual is dependent only on one support), for each support in extended algebraic Black-Scholes-Merton model.


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References


Tiberiu Socaciu, Paul Pascu, BUILDING A BLACK-SCHOLES LIKE PDE FOR A MULTIASSET FINANCIAL DERIVATIVE IN GENERALIZED ALGEBRAIC-VECTORIAL MODEL, submitted at 11th edition - Vision and Foresight in Economic Policies in Times of Crisis, Suceava, 2013.

Pavel Fărcaş, Radu Moleriu, Elemente de probabilităţi şi teoria proceselor stochastice cu aplicaţii în matematica financiară, Editura Albastra, Cluj-Napoca, 2006, 315 pages.

Tiberiu Socaciu, Paul Pascu, BUILDING STENCIL FOR A BLACK-SCHOLES-MERTON-GARMAN GENERALIZED LIKE PDE FOR A MULTIASSET FINANCIAL DERIVATIVE IN GENERALIZED ALGEBRAIC-VECTORIAL MODEL, at 11th edition - Vision and Foresight in Economic Policies in Times of Crisis, Stefan cel Mare University of Suceava, November 1, 2013 – November 2, 2013.


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