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On modified Black-Scholes equation. (English) Zbl 1071.91018

Authors’ summary: Black-Scholes equation corresponds to the diffusion equation. It is argued that the telegraph equation is more suitable from several points of view. The corresponding modified Black-Scholes equation is proposed. The telegraph equation is also applied to spatial population dynamics.

MSC:

91B28 Finance etc. (MSC2000)
35G05 Linear higher-order PDEs
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References:

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