Albiol, Hortensia Fontanals; Lacayo, Ramon - Facultat d'Economia i Empresa, Universitat de Barcelona - 2005
It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is...