Black-scholes theory and diffusion processes on the cotangent bundle of the affine group

• Main Authors: Jayaraman, Amitesh S., Campolo, Domenico, Chirikjian, Gregory S.
• Other Authors: School of Mechanical and Aerospace Engineering
• Format: Article
• Language: English
• Published: 2021
• Subjects: Engineering::Mechanical engineering; Black-Scholes; Affine
• Online Access: https://hdl.handle.net/10356/146343
• Institution: Nanyang Technological University

The Black-Scholes partial differential equation (PDE) from mathematical finance has been analysed extensively and it is well known that the equation can be reduced to a heat equation on Euclidean space by a logarithmic transformation of variables. However, an alternative interpretation is proposed i...