The asymptotic behavior of the solutions of the Black–Scholes equation as volatility σ→0+
Computers & Mathematics with Applications(2019)
摘要
The aim of this paper is to explore the asymptotic properties of the solutions to the Black–Scholes equation. This paper focuses on the basic properties of options when the volatility σ is sufficiently close to zero. We got an approximate formula for option pricing. This approximate formula is simple and can be applied to financial markets with small volatility.
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关键词
Black–Scholes equation,Asymptotic behavior,Volatility
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