New method to option pricing for the general Black-Scholes model -- an actuarial approach

DOI10.1007/BF02437815zbMath1093.91026MaRDI QIDQ1430587

Haifeng Yan, San-Yang Liu

Publication date: 27 May 2004

Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processfair premium

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integral equations (60H20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• An actuarial approach to option pricing under the physical measure and without market assumptions
• On explicit solutions to stochastic differential equations
• Option pricing: A simplified approach

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