We use the dynamic programming principle method to obtain the Hamilton-Jacobi-Bellman(HJB)equation for the value function,and solve the optimal portfolio problem explicitly in a Black-Scholes type of market driven by ...We use the dynamic programming principle method to obtain the Hamilton-Jacobi-Bellman(HJB)equation for the value function,and solve the optimal portfolio problem explicitly in a Black-Scholes type of market driven by fractional Brownian motion with Hurst parameter H∈(0,1).The results are compared with the corresponding well-known results in the standard Black-Scholes market(H=1/2).As an application of our proposed model,two optimal problems are discussed and solved,analytically.展开更多
In this paper, we present a new approach for solving boundary value problem in partial differential equation arising in financial market by means of the Laplace transform. The result shows that the Laplace transform f...In this paper, we present a new approach for solving boundary value problem in partial differential equation arising in financial market by means of the Laplace transform. The result shows that the Laplace transform for the price of the European call option which pays dividend yield reduces to the Black-Scholes-Merton model.展开更多
基金Supported by the Science and Technology Research Program of Chongqing Municipal Education Commission(KJQN201900506)
文摘We use the dynamic programming principle method to obtain the Hamilton-Jacobi-Bellman(HJB)equation for the value function,and solve the optimal portfolio problem explicitly in a Black-Scholes type of market driven by fractional Brownian motion with Hurst parameter H∈(0,1).The results are compared with the corresponding well-known results in the standard Black-Scholes market(H=1/2).As an application of our proposed model,two optimal problems are discussed and solved,analytically.
文摘In this paper, we present a new approach for solving boundary value problem in partial differential equation arising in financial market by means of the Laplace transform. The result shows that the Laplace transform for the price of the European call option which pays dividend yield reduces to the Black-Scholes-Merton model.
