What is backward equation
What is backward equation?
Expert
The backward equation termed as also the backward Kolmogorov equation it is
∂p/∂t + ½ B(y,t)2∂2p/∂y2 + A(y,t) ∂p/∂y = 0
This should be solved backwards in t with given last data.
For illustration, if we wish to compute the expected value of a few functions F(S) at time T we should solve this equation for the function p(S, t) along with
p(S, T) = F(S).
What is a Wiener Process/Brownian Motion?
What is a Utility Function?
[CAPM Estimate of Cost of Equity Capital] Voice River, Inc., has successfully moved through its early life cycle stages and now is well into its rapid-growth stage. However, by traditional standards this provider of media-on-demand services is still considered to be a relatively small venture. The i
What are different volatilities in vanilla equity option?
What is Delta Hedging?
State the term bootstrapping using discount factors.
Explain risk in various forms.
Illustrates an example of Option Adjusted Spread. Answer: Analyses by using Option Adjusted Spreads are common within Mortgage-Backed Securities (MBS).
How can stocks are squeezed in the Black–Scholes framework when it falls dramatically?
Explain reward versus risk.
18,76,764
1939253 Asked
3,689
Active Tutors
1432466
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!