# Questions tagged [differential-equations]

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### Computing squared returns given differential equation for prices

I am looking for general advice on how to start tackling the problem below. My background in math is fairly bad when it comes to stochastic differential equations, but if you have any recommendations ...
0answers
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### Probability distributions as solutions to differential equations

As far as what I can tell, the popularity of the Black-Scholes-Merton model partly stems from the fact that it formulates the value of a derivative in a differential form in which the solution has a ...
1answer
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### why futures contract has no value

Can any one tell me, why futures contract has no value? We know that the value of future(Maybe I confuse the concept of ...
0answers
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### Some confusion on american put pde

Suppose $$L(v) = \dfrac{\partial v}{\partial t} + rS\dfrac{\partial v}{\partial S} + \dfrac{1}{2}\sigma^2S^2\dfrac{\partial^2 v}{\partial S^2} -rv$$ is Black-Scholes operator. ...
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### ODE Solution in Carr's Randomized American Put

In Carr's 1998 paper Randomization and the American Put, he sets up the following ODE for the value of an American put with expiration given by the first jump time of a Poisson process with rate \$\...