Uniqueness of the Solution to a Difference-Partial Differential Equation for Finance

DOI10.1142/S0218202503002775zbMath1060.60068OpenAlexW2045373772WikidataQ115245868 ScholiaQ115245868MaRDI QIDQ3043565

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Publication date: 6 August 2004

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218202503002775

zbMATH Keywords

maximum principleuniqueness of solutionsBlack-Scholes modelFeynman-Kac representationabsence of arbitragepricing of optionsdifference-partial differential equation

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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Bond Market Structure in the Presence of Marked Point Processes
• The European options hedge perfectly in a Poisson-Gaussian stock market model
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• Option pricing when underlying stock returns are discontinuous
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