کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7374866 1480064 2018 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
General solution of the Black-Scholes boundary-value problem
ترجمه فارسی عنوان
حل کلی حل مسئله ارزش مرز ارزش سیاه-اسکولس
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
The Black-Scholes formula for a European option price, which resulted in the 1997 Nobel Prize in Economic Sciences, is known to be the unique solution of the boundary-value problem consisting of the Black-Scholes partial differential equation and the terminal condition defined by the European call option. This has been one of the most popular tools of finance in theory as well as in practice. Here we present infinitely many solutions of the boundary value problem, involving Hermite polynomials. This indicates that the Black-Scholes boundary-value problem violates the law of one price, which is one of the fundamental concepts in economics.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 509, 1 November 2018, Pages 546-550
نویسندگان
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