Kristensen, Dennis; Mele, Antonio - 2009
within the generalized Black-Scholes model, and (iii) the pricing of bonds in single-factor models
of the short-term rate.
2 … of re-writing the Black-Scholes model appears more complicated than needed,
it actually allows us to further illustrate … our method. Associated with the Black-Scholes model
is the in�nitesimal operator L0w = @@tw +rS @@Sw + 12 20S2 @2@S2w, and …