Project CEMAPRE internal
| Title | Nonlinear problems for option pricing - classical and new insights |
| Participants | André Bento, Nuno Brites, Joaquim Cavalheiro, Matthias Erharhdt, Maria do Rosário Grossinho (Principal Investigator), Manuel Guerra, João Guerra, Henrique Guerreiro, João Janela, Telmo Peixe, Daniel Sevcovic, Ivan Yamshchikov |
| Summary | We aim to work on nonlinear generalizations of the Black-Scholes equation for option pricing, aiming to develop models that consider more realistic situations of the financial markets, by relaxing the assumptions of the classical Black-Scholes model. The project will continue to reinforce the collaboration of research teams at Wuppertal University , in Germany, and Comenius University at Bratislava, in Slovakia. New insights are also expected having into account the collaboration of Ivan Yamshchikov and his expertise in artificial intelligence. |