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

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