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SEMIGROUP THEORY APPLIED TO OPTIONS.
- Source :
-
Journal of Applied Mathematics . 2009, p131-139. 9p. - Publication Year :
- 2009
-
Abstract
- Black and Scholes (1973) proved that under certain assumptions about the market place, the value of a European option, as a function of the current value of the underlying asset and time, verifies a Cauchy problem. We give new conditions for the existence and uniqueness of the value of a European option by using semigroup theory. For this, we choose a suitable space that verifies some conditions, what allows us that the operator that appears in the Cauchy problem is the infinitesimal generator of a C0-semigroup T(t). Then we are able to guarantee the existence and uniqueness of the value of a European option and we also achieve an explicit expression of that value. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 1110757X
- Database :
- Academic Search Index
- Journal :
- Journal of Applied Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- 47599751