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

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...

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Bibliographic Details
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:
Online Access:https://hdl.handle.net/10356/146343
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Institution: Nanyang Technological University
Language: English

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