论文信息 - ON MODIFIED BLACK–SCHOLES EQUATION

ON MODIFIED BLACK–SCHOLES EQUATION

Abstract Black–Scholes equation corresponds to the diffusion equation. It is argued that the telegraph equation is more suitable from several points of view. The corresponding modified Black–Scholes equation is proposed. The telegraph equation is also applied to spatial population dynamics.

Elsayed Ahmed | H. A. Abdusalam | E. Ahmed

[1] Bastien Chopard,et al. Cellular automata model for the diffusion equation , 1991 .

[2] Josep Perelló,et al. Black–Scholes option pricing within Itô and Stratonovich conventions , 2000 .

[3] M. Beckmann. On spatial population dynamics , 2003 .

[4] Zongmin Wu,et al. Convergence error estimate in solving free boundary diffusion problem by radial basis functions method , 2003 .

[5] G. Lebon,et al. Extended irreversible thermodynamics , 1993 .

[6] A master equation approach to option pricing , 2002, cond-mat/0209522.

[7] Kiyosi Itô. Stochastic Differential Equations , 2018, The Control Systems Handbook.

[8] A. Ōkubo,et al. Di?usion and ecological problems: mathematical models , 1980 .

[9] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[10] P. Wilmott. Derivatives: The Theory and Practice of Financial Engineering , 1998 .

[11] Elsayed Ahmed,et al. On Diffusion in Some Biological and Economic Systems , 2000 .

[12] H. A. Abdusalam,et al. ON TELEGRAPH REACTION DIFFUSION AND COUPLED MAP LATTICE IN SOME BIOLOGICAL SYSTEMS , 2001 .

[13] P. Wilmott,et al. The Mathematics of Financial Derivatives: Contents , 1995 .