Option price when the stock is a semimartingale

DOI10.1214/ECP.v7-1049zbMath1008.60057OpenAlexW2074658274MaRDI QIDQ1860583

Fima C. Klebaner

Publication date: 25 February 2003

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/122489

zbMATH Keywords

semimartingalesBlack-Scholes formulaMeyer-Tanaka formula

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

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