Option Pricing and the Dirichlet Problem

Interesting read on option pricing.  Not sure is anyone is using this method in the non-academic world, but the conclusion implies opportunity:

We have not proven any new results, however, we have seen that a classical technique has a natural interpretation in terms of derivatives pricing.  With this interpretation the maximum principle becomes rather obvious. We have studied a rather simple special case, the flat Laplacian on Rn, however, it is clear that the techniques could easily be applied in a much wider range of cases


~ by mdavey on September 6, 2012.

One Response to “Option Pricing and the Dirichlet Problem”

  1. Mr Davey – I have read the article but I have no clue as to applications. Would you care to elaborate?

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