Bilinear collocation method for fuzzy Black-Scholes equation
نویسندگان
چکیده
منابع مشابه
Revisiting Black-Scholes Equation
In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships among the securities in the asset market. In special case where the interest ...
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The most important application of the Itô calculus, derived from the Itô lemma, in financial mathematics is the pricing of options. The most famous result in this area is the Black-Scholes formulae for pricing European vanilla call and put options. As a consequence of the formulae, both in theoretical and practical applications, Robert Merton and Myron Scholes were awarded the Nobel Prize for E...
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ژورنال
عنوان ژورنال: Journal of Fuzzy Set Valued Analysis
سال: 2015
ISSN: 2193-4169
DOI: 10.5899/2015/jfsva-00251