On the structure of proper Black-Scholes formulae

DOI10.1239/JAP/1085496606zbMath1029.91037OpenAlexW2032237098MaRDI QIDQ3147843

Peter Whittle

Publication date: 30 September 2002

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1085496606

zbMATH Keywords

option pricingBlack-Scholes formularisk-averseness

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (1)

Discrete hedging in the mean/variance model for European call options

This page was built for publication: On the structure of proper Black-Scholes formulae