Publication:
On the delta hedging related to the eigenvalues and the interest rate of the black-scholes equation

Issued Date

2010-12-01

Resource Type

Article

ISSN

13118080

Other identifier(s)

2-s2.0-79952611107

Rights

Mahidol University

Rights Holder(s)

SCOPUS

Bibliographic Citation

International Journal of Pure and Applied Mathematics. Vol.65, No.4 (2010), 489-500

Suggested Citation

A. Kananthai, C. Bunpog On the delta hedging related to the eigenvalues and the interest rate of the black-scholes equation. International Journal of Pure and Applied Mathematics. Vol.65, No.4 (2010), 489-500. Retrieved from: https://repository.li.mahidol.ac.th/handle/123456789/29316

Research Projects

Organizational Units

Authors

Journal Issue

Thesis

Title

On the delta hedging related to the eigenvalues and the interest rate of the black-scholes equation

Author(s)

A. Kananthai
 C. Bunpog

Other Contributor(s)

Chiang Mai University
 Mahidol University

Abstract

In this article, we study the delta hedging which is another way of minimizing the risk of investment. We can relate the delta hedging to the eigenvalues and the interest rate of the Black-Scholes equation. We found that such delta hedging depending on the relationship between the eigenvalues and the interest rate. We also found that the asymptotic form of the delta hedging related to the price of stock. Moreover, the results of this paper may not be useful in the real world application. But at least this paper may create the new results in the mathematical area which applying in the Financial Mathematics. © 2010 Academic Publications.

Keyword(s)

Mathematics

Availability

URI

https://repository.li.mahidol.ac.th/handle/123456789/29316

Collections

Scopus 2006-2010