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Doctoral Thesis
DOI
10.11606/T.55.2008.tde-02072008-101527
Document
Author
Full name
Everaldo de Mello Bonotto
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2008
Supervisor
Committee
Federson, Márcia Cristina Anderson Braz (President)
Carbinatto, Maria do Carmo
Neves, Aloisio Jose Freiria
Ruffino, Paulo Régis Caron
Yoshino, Joe Akira
Title in Portuguese
A equação de Black-Scholes com ação impulsiva
Keywords in Portuguese
Equação de Black-Scholes
Equação de Schrödinger
Equações diferenciais impulsivas
Impulsos
Integral de Henstock
Abstract in Portuguese
Impulsos são perturbações abruptas que ocorrem em curto espaço de tempo e podem ser consideradas instantâneas. E os mercados financeiros estão sujeitos a choques bruscos como mudanças de governos, quebra de empresas, entre outros. Assim, é natural considerarmos a ação de tais eventos na precificação de ativos financeiros. Nosso objetivo neste trabalho é obtermos uma formulação para a equação diferencial parcial de Black-Scholes com ação impulsiva de modo que os impulsos representem estes choques. Utilizaremos a teoria de integração não-absoluta em espaço de funções para obtenção desta formulação
Title in English
The Black-Scholes equation with impulse action
Keywords in English
Henstock integral
Impulses
Impulsive differential equations
Schrödinger equation
The Black-Scholes equation
Abstract in English
Impulses describe the evolution of systems where the continuous development of a process is interrupted by abrupt changes of state. Financial markets are subject to extreme events or shocks as government changes, companies colapse, etc. Thus it seems natural to consider the action of these events in the valuation of derivative securities. The aim of this work is to obtain a formulation for the Black-Scholes equation with impulse action where the impulses can represent these shocks. We use the non-absolute integration theory in functional spaces to obtain such formulation
 
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Everaldo.pdf (570.19 Kbytes)
Publishing Date
2008-07-02
 
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