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Solving a partial differential equation associated with the pricing of power options with time-dependent parameters

  • Published:2014-08-05 Issue:14 Volume:38 Page:2901-2910
  • ISSN:0170-4214
  • Container-title:Mathematical Methods in the Applied Sciences
  • language:en
  • Short-container-title:Math. Meth. Appl. Sci.

Author:

Okelola M. O.1,Govinder K. S.1,O'Hara J. G.2

Affiliation:

1. School of Mathematics, Statistics and Computer Science; University of KwaZulu-Natal; Private Bag X54001, Durban 4000 South Africa

2. Center for Computational Finance and Economic Agents; University of Essex; Wivenhoe Park, Colchester, CO4 3SQ United Kingdom

Funder

National Research Foundation

Publisher

Wiley

Subject

General Engineering,General Mathematics

Reference27 articles.

1. PDE and Martingale Methods in Option Pricing

2. Théorie de la spéculation;Bachelier;Annales Scientifiques de l'École Normale Supérieure,1900

3. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

4. Power options: hedging nonlinear risks;Tompkins;Journal of Risk,1999
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