Semigroup theory applied to options
Cruz-Báez, D. I. ; González-Rodríguez, J. M.
J. Appl. Math., Tome 2 (2002) no. 8, p. 131-139 / Harvested from Project Euclid
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 $C_0$ -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.
Publié le : 2002-05-14
Classification:  35K15,  44A15,  47D06,  91B28
@article{1049075016,
     author = {Cruz-B\'aez, D. I. and Gonz\'alez-Rodr\'\i guez, J. M.},
     title = {Semigroup theory applied to options},
     journal = {J. Appl. Math.},
     volume = {2},
     number = {8},
     year = {2002},
     pages = { 131-139},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1049075016}
}
Cruz-Báez, D. I.; González-Rodríguez, J. M. Semigroup theory applied to options. J. Appl. Math., Tome 2 (2002) no. 8, pp.  131-139. http://gdmltest.u-ga.fr/item/1049075016/