PDE Models for Pricing Stocks and Options With Memory Feedback

Robert Peszek

Applied Mathematical Finance, 1995, vol. 2, issue 4, 211-224

Abstract: This paper describes partial differential equation (PDE) models for pricing stocks and options in the presence of memory feedback. Of interest are economic situations in which the stock (option) value at time T depends on some type of average of its past values. Derived PDEs resemble viscous Burgers' equations.

Keywords: Burgers'; equation; memory feedback; trading strategy; pricing (search for similar items in EconPapers)
Date: 1995
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DOI: 10.1080/13504869500000011

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