Showing 31 - 40 of 18,389
Persistent link: https://www.econbiz.de/10001691707
This manuscript gives introduction to parabolic Partial Differential Equations (PDE) in one-dimensional case. It recalls the notion and main limitations of Black-Scholes model and establishes the Black-Scholes formula. It recalls the standard machinery of solving the parabolic PDE which is...
Persistent link: https://www.econbiz.de/10012895387
Modelling correlation between financial quantities is important in the accurate pricing of financial derivatives. In this paper, we introduce some stochasticity in correlation, by considering a regime-switching correlation model, in which the transition rates between regimes are given. We...
Persistent link: https://www.econbiz.de/10013250551
Persistent link: https://www.econbiz.de/10010193332
Persistent link: https://www.econbiz.de/10009632516
Persistent link: https://www.econbiz.de/10011686808
Persistent link: https://www.econbiz.de/10011923061
Persistent link: https://www.econbiz.de/10012194873
Persistent link: https://www.econbiz.de/10014327247