Option pricing in mathematical financial market with jumps and related problems.

zbMath1038.91050MaRDI QIDQ1862674

Situ Rong

Publication date: 2002

Published in: Vietnam Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

option pricingpartial differential equationsGirsanov theoremBlack-Scholes formulafinancial market with jumps

Mathematics Subject Classification ID

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

Related Items (1)

Stochastic \(H_{2}/H_{\infty}\) control for Poisson jump-diffusion systems

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