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scientific article; zbMATH DE number 6174814 - MaRDI portal

scientific article; zbMATH DE number 6174814

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Publication:4925747

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zbMath1277.91177MaRDI QIDQ4925747

John van der Hoek, Małgorzata Wiktoria Korolkiewicz

Publication date: 12 June 2013

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

zbMATH Keywords

approximations spread options numerical implementation geometric Brownian motions risk-neutral probability measure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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