Financial Derivatives (Based on Two Supports) Evaluation

Authors

Keywords:

Financial derivatives, derivatives evaluation, derivatives based on two supports, extended Ito like lemma

Abstract

In this paper we build a PDE like Black-Scholes equation in hypothesis of a financial derivative that is dependent on two supports (usual is dependent only on one support), like am option based on gold, when national currency has a great float. 

Author Biography

  • Tiberiu Socaciu , Faculty of Economics, Stefan cel Mare University of Suceava

    Faculty of Economics, Stefan cel Mare University of Suceava
    Faculty of Informatics, Vasile Goldis Western University of Arad
    Faculty of Economics, Babes-Bolyai University of Cluj

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Published

2025-07-14

Issue

Vol. 2 No. 2 (2011): Volume 2, Issue 2, Year 2011

Section

Articles