Option pricing under general geometric Riemannian Brownian motions

DOI10.4134/BKMS.B150731zbMATH Open1349.91289OpenAlexW2546453340WikidataQ115216173 ScholiaQ115216173MaRDI QIDQ2828680

Yong-Chao Zhang

Publication date: 26 October 2016

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=468032

zbMATH Keywords

option pricingstochastic differential equationsStratonovich integralgeometric Riemannian Brownian motion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes and stochastic analysis on manifolds (58J65)

Related Items (1)

Diffusion approximations of the geometric Markov renewal processes and option price formulas

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