PDE models for pricing stocks and options with memory feedback
Document Type
Article
Publication Date
10-1-1995
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. © 1995, Taylor & Francis Group, LLC. All rights reserved.
Publication Title
Applied Mathematical Finance
Recommended Citation
Peszek, R.
(1995).
PDE models for pricing stocks and options with memory feedback.
Applied Mathematical Finance,
2(4), 211-224.
http://doi.org/10.1080/13504869500000011
Retrieved from: https://digitalcommons.mtu.edu/michigantech-p/9441