Some Problems Related to the Black-Scholes Type Security Markets

DOI10.1142/9789812702852_0018zbMath1322.91055OpenAlexW3123935174MaRDI QIDQ3576790

Jiong-min Yong

Publication date: 2 August 2010

Published in: Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789812702852_0018

zbMATH Keywords

Itô integralcompletenessbackward stochastic differential equationpricing formulaarbitrage-freeBlack-Scholes market model

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)

Related Items (1)

Representation of Itô integrals by Lebesgue/Bochner integrals

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