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zbMath1211.91232MaRDI QIDQ3571319

Zhibin Sun, Yu-lian Fan

Publication date: 8 July 2010

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

zbMATH Keywords

option pricing backward stochastic differential equation jump-diffusion model equivalent probability martingale measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57)

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