An option pricing problem with the underlying stock paying dividends

DOI10.1007/s11766-997-0047-2zbMath0894.90028OpenAlexW2052200218MaRDI QIDQ1377185

Ling Zhuang, Zhen Wu, Wensheng Xu

Publication date: 4 February 1998

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-997-0047-2

zbMATH Keywords

stochastic differential equationpricingEuropean call optionsseries of partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Adapted solution of a backward stochastic differential equation
• On the theory of option pricing
• An extension of the Black-Scholes model of security valuation
• A Black-Scholes formula for option pricing with dividends
• Backward stochastic differential equations and applications to optimal control
• Optimization Problems in the Theory of Continuous Trading
• Option pricing: A simplified approach

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