scientific article

zbMATH Open1356.91107MaRDI QIDQ2960757

Doreen Strassburger, D. Pfeifer

Publication date: 17 February 2017

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

zbMATH Keywords

discrete approximationsSolvency IIordinary and stochastic differential equationsBlack-Karasinski model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Explicit solutions, first integrals of ordinary differential equations (34A05) Linear ordinary differential equations and systems (34A30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (7)

Unnamed Item ⋮ Stochastic dynamic models with stock-dependent rewards ⋮ Stochastic Partial Differential Equations and Portfolio Choice ⋮ Stochastic differential equations in finance ⋮ Modeling the BUX index by a novel stochastic differential equation ⋮ Stochastic differential equations for compounded risk reserves ⋮ Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations

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