9/15/2023 0 Comments Matlab symbolic toolbox functions24) When such a function has been found, the solution of Eq. () can be solved to give This gives integrable equation. 23) which contains an arbitrary constant. My attempt follows the methodology of deriving the Black-Scholes PDE but using a mean-reverting process to describe the asset instead of a geometric Brownian motion:As mentioned earlier, the fundamental idea in Charpit's method is to introduce a compatible PDE of the first order. Our Tag Line: Procurement that Delivers.I want to derive a Black-Scholes type partial differential equation to price options on an asset that follows a mean-reverting process (Schwartz model). Our Values:Integrity, Customer Focus, Professionalism, Innovation and Team work. ![]() Our Mission: To Promote Service Delivery Through Effective Regulation of the Public Procurement and Disposal System. ![]() Our Vision: A Dynamic Facilitator of the Public Procurement and Asset Disposal System for Sustainable National Development.
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