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BUILDING STENCIL FOR A BLACK-SCHOLES-MERTON-GARMAN GENERALIZED LIKE PDE FOR A MULTIASSET FINANCIAL DERIVATIVE IN GENERALIZED ALGEBRAIC-VECTORIAL MODEL
Building: Building E
Room: E119
Date: 2013-11-01 03:00 PM – 06:00 PM
Last modified: 2013-10-30
Abstract
In this paper we build a offer a method for generating reccurence formula for a PDE like Black-Scholes-Merton-
Garman equation in hypothesis of a financial derivative that is dependent on N supports (usual is dependent only
on one support), for each support in extended algebraic Black-Scholes-Merton model.
Garman equation in hypothesis of a financial derivative that is dependent on N supports (usual is dependent only
on one support), for each support in extended algebraic Black-Scholes-Merton model.