Financial derivatives (based on two supports) evaluation

Tiberiu Socaciu ()

BRAND. Broad Research in Accounting, Negotiation, and Distribution, 2011, vol. 2, issue 2, 63-66

Abstract: In this paper we build a PDE like Black-Scholes equation in hypothesis of a financial derivative that is dependent on two supports (usual is dependent only on one support), like am option based on gold, when national currency has a great float.

Keywords: Financial derivatives; derivatives evaluation; derivatives based on two supports; extended ItÅ like lemma. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:bra:journl:v:2:y:2011:i:2:p:63-66

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