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scientific article; zbMATH DE number 1222787 - MaRDI portal

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zbMath0922.90012MaRDI QIDQ4218370

M. J. P. Selby, Stewart D. Hodges

Publication date: 11 November 1998

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

zbMATH Keywords

Burgers' equation Black-Scholes model asymptotic portfolio selection behaviour of the risk premium

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (2)

Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation ⋮ Burgers' turbulence problem with linear or quadratic external potential

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