ARBITRAGE-FREE OPTION PRICING MODELS

DOI10.1017/S144678870900007XzbMath1175.91173OpenAlexW2025159467MaRDI QIDQ3644365

Scott Stelljes, Denis R. Bell

Publication date: 4 November 2009

Published in: Journal of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s144678870900007x

zbMATH Keywords

Black-Scholes formulaEuropean call optionarbitage-free

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Lie symmetry analysis for a parabolic Monge-Ampère equation in the optimal investment theory ⋮ Solutions and simulations of some one-dimensional stochastic differential equations ⋮ On the generation of arbitrage-free stock price models using Lie symmetry analysis ⋮ New candidates for arbitrage-free stock price models via generalized conditional symmetry method

Cites Work

• The Pricing of Options and Corporate Liabilities
• Unnamed Item

This page was built for publication: ARBITRAGE-FREE OPTION PRICING MODELS