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

Socaciu Tiberiu, Paul Pascu

Abstract


In this paper we build a partial differential equation - like Black-Scholes 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


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