The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes (Q4292472)
From MaRDI portal
scientific article; zbMATH DE number 583778
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes |
scientific article; zbMATH DE number 583778 |
Statements
The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes (English)
0 references
21 July 1994
0 references
European call option
0 references
Ito stochastic calculus
0 references
low-Brownian stochastic process
0 references
ARCH processes
0 references
jump processes
0 references
correlated Gaussian processes
0 references
optimal strategy
0 references
risk
0 references
portfolio
0 references
risk-corrected option prices
0 references
transactioncosts
0 references
