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Abstract: Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis

Published online by Cambridge University Press:  19 October 2009

Extract

Since the seminal article by Black and Scholes on the pricing of corporate liabilities, the importance in finance of contingent claims has become widely recognized. The key to the valuation of such claims has been found to lie in the solution to certain partial differential equations, the best known of which is that derived by Black and Scholes in their original article from the assumption that the value of the asset underlying the contingent claim follows a geometric Brownian motion.

Type
Abstracts of Conference Papers: Options
Copyright
Copyright © School of Business Administration, University of Washington 1977

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