Semigroup theory applied to basket options
Abstract
In this paper, a generalised solution of the multi-dimensional Black-Scholes partial differential equation corresponding to basket options is proposed. By certain transformations this equation can be treated as a generalised heat equation. Semigroup theory techniques are used to discuss its solution.
- Published
- 16 September 2016
- Volume
- 2016 (2016)
- License
- CC BY 3.0
Copyright © 2016 S. Panayappan. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Cite this article
S. Panayappan, Semigroup theory applied to basket options, J. Semigroup Theory Appl. 2016 (2016), 7.
BibTeX
@article{Panayappan2016,
author = {Panayappan, S.},
title = {Semigroup theory applied to basket options},
journal = {J. Semigroup Theory Appl.},
volume = {2016},
year = {2016},
pages = {7},
doi = {}
}