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zbMath1008.91043MaRDI QIDQ2741099

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 18 November 2001

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Lévy processes equivalent martingale measure pseudo-differential operators Black-Scholes equations pricing formulas American and barrier options

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

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