Spectral Approximation of Infinite-Dimensional Black-Scholes Equations with Memory
Spectral Approximation of Infinite-Dimensional Black-Scholes Equations with Memory
This paper considers the pricing of a European option using a ( B , S )‐market in which the stock price and the asset in the riskless bank account both have hereditary price structures described by the authors of this paper (1999). Under the smoothness assumption of the payoff function, …