Evolution process as an alternative to diffusion process and Black–Scholes Formula

Pogoruі, А. А. and Rodríguez-Dagnіno, Ramón М. (2009) Evolution process as an alternative to diffusion process and Black–Scholes Formula. Random Operators and Stochastic Equations (17(1)). pp. 61-68. ISSN 0926-6364

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Official URL: http://www.degruyter.com/view/j/rose.2009.17.issue-1/rose.2009.004/rose.2009.004.xml

Abstract

In this paper, we study the one-dimensional transport process in the case of disbalance. In the hydrodynamic limit, this process approximates the diffusion process on a line. By using this property, we propose to apply transport processes instead of diffusion processes in some economical models, particularly in Black–Scholes formula. This application manages to avoid some drawbacks of diffusion processes.

Item Type: Article
Subjects: Q Science > QA Mathematics > Mathematical Analysis
Divisions: Faculty of Physics and Mathematics > Department of Mathematical Analysis
Depositing User: Ірина Ігорівна Таргонська
Date Deposited: 21 Oct 2014 07:20
Last Modified: 15 Aug 2015 09:11
URI: http://eprints.zu.edu.ua/id/eprint/13245

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