Abstract
Black and Scholes (1973) proved that under certain assumptions about the market place, the value of a European option, as a function of the current value of the underlying asset and time, verifies a Cauchy problem. We give new conditions for the existence and uniqueness of the value of a European option by using semigroup theory. For this, we choose a suitable space that verifies some conditions, what allows us that the operator that appears in the Cauchy problem is the infinitesimal generator of a -semigroup . Then we are able to guarantee the existence and uniqueness of the value of a European option and we also achieve an explicit expression of that value.
Citation
D. I. Cruz-Báez. J. M. González-Rodríguez. "Semigroup theory applied to options." J. Appl. Math. 2 (3) 131 - 139, 18 June 2002. https://doi.org/10.1155/S1110757X02111041
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