Evolution process as an alternative to diffusion process and Black–Scholes Formula

DOI10.1515/ROSE.2009.004zbMath1224.91196OpenAlexW2081859301MaRDI QIDQ3077687

Anatoliy A. Pogorui, Ramón Martin Rodríguez Dagnino

Publication date: 22 February 2011

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2009.004

zbMATH Keywords

Brownian motiondiffusion processBlack-Scholes formulatransport processrandom evolutions

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Processes in random environments (60K37)

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Cites Work

• Asymptotic expansion for the functional of Markovian evolution in \(\mathbb{R}^{d}\) in the circuit of diffusion approximation

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